I use pygrib to open the files. In their documentation, they point to two ways to install pygrib, using pip or using conda. However, I could only make it work using conda. Run this in your Anaconda Prompt to install pygrib.
This week, I am discussing an error which used to be a warning on the old rasterio - and I ignored it. Lesson learned! I was doing my usual savings of GeoTIFF rasters in an updated python environment (with rasterio 1.2.6) when I saw this error: