How bad is it to decline the NSF graduate fellowship?
There are no consequences to you if you decline the NSF Graduate Research Fellowship.  You did waste the reviewers' time.

If you get the fellowship and do not get into your first choice PhD program, then I suggest contacting your first choice and asking them if they will reconsider.  Many places are happy to have a PhD student they are paid by NSF to take, when the usual situation is they have to pay to get a PhD student.