Hi,
First of all, system doesnt not check budget during GRN. It is by means of SAP note implementation we make system to check budget limits during GRN.
Now, coming to your query, at GRN account assignment category is picked automatically from PR/PO itself and with this the budget of corresponding cost objects(WBS,Order etc) are checked through cost carriers (G/L or cost element).
If you dont want any account assignment category (for cost object) then select 'U' category to create PR-PO-GRN. it will not ask any cost object during any transaction posting .
Check with your MM guy for more details on it.
Regards
Saurabh