Hi Teresa,
A genetic risk score (GRS) is a sum of all of the SNPs that go into it. When you test the GRS, you are just testing the sum, not the individual SNPs that are added into it. So, when you are assessing significance of a GRS, that means you should be adjusting for doing just the one test, so the usual p<0.05 would be significant. If you were to be testing each individual variant, then you would have a higher multiple correction burden... what do you think that would do to the power?...
Best,
Tom