Any reason not to apply for funding as a grad student?
Reward to ratio of the application. If you already have some funding, and the additional funding is small compared to the time required to apply for it. For example, you have an NSF fellowship at ~$30k/yr, so it might not be worth applying to $2k scholarships which take a week or two of time.
Reward to ratio of the work. You don't want to take on a new project.
The project isn't relevant to your line of work.
You aren't qualified (GPA, citizenship, or status limitations)