To add to this - it's typical in standard PRS analyses to find that the best-fit PRS P-value threshold is P=1, especially when the base GWAS has low power because then the causal variants are spread across the results, meaning that the signal:noise ratio remains relatively high with increasing P-value and so predictive power continues to increase.. while for highly powered GWAS most of the signal is in the upper tail of results (small P-values) and so the signal:noise ratio is very small once those SNPs have been included in the score and so the best-fit PRS will likely include only a fraction of SNPs (eg. Pt < 0.05).
Please see Dudbridge 2013, PLoS Genetics, for theoretical results demonstrating this (eg. see Figures 1 and 2, which show the optimum P-value threshold in different scenarios).