I'm going to say it's not an issue on their end at all.
My current mentor applied to work on a project at one school, and after he won got flown out and wooed by another program. He ended up going with the second program, and he says it wasn't a problem with the NSF.
On the other hand it might be slightly awkward if the potential advisor for the project / program you applied with gave you significant help or input, but, even so, you have no true obligation to stay with that program. The GRFP is made to fund the person, not the project, and you can take that funding wherever you want to!
Hope that helps and good luck!