Yeah, sometimes. There's an ATF concept called "constructive possession" which means if you have all the parts, you're in a legal grey area. If the ATF thinks you have the intent to assemble an unlawful weapon, and you have constructive possession, then you might be a criminal.
I think it's unlikely (but possible) a case would be brought against you for just having the grip, and I'm not sure if that's ever actually happened. As opposed to if you had all the parts to make a machine gun, where there could only be one use for those parts.
Also interesting, drilling the extra hole in your AR-15 lower so that it could some day accept an auto-sear is a serious felony, even if you don't own the auto-sear.
I'm fascinated by how insane these rules are after I learned that I can't legally own or operate a firearm because I'm a medical marijuana user. If cannabis ever gets unscheduled, I'd like to build a little arsenal.