In fact, Gene Nocon suggests not using a scrap piece of paper in his book on darkroom printing. And I personally think that grain magnifier manufacturers have already designed in a typical paper thickness. That's certainly what I would do if I was manufacturing them.
Grain focusers assume that whatever you focus on is directly underneath the focuser. Their focus plane is the bottom face of the focuser. In other words, if you focus on the easel and then expose on the paper, you'll make a small, irrelevant mistake. If you focus on a scrap piece of paper and expose on a paper of the same thickness, you don't make such a mistake, but you won't be able to see the difference.