Not able to open .f000 file formats in pygrib
Figured out my error: I was assuming that I needed to alter the filename endings / type in order to save as a genuine .grb or .grib2 file. The files are already in grib2 format despite the ending in .f000 so you should be able to leave them as that.

My other error was not double checking the exact filename and path when dealing with multiple grib files across the GFS datasets. Some have slight differences in the naming convention, and when loading on pygrib it will throw the same generic "import error" as if the file couldn't be read.