Parece que você deseja filtrar arquivo2 com base nos IDs no arquivo 1 (em vez de mesclar os arquivos):
$ awk 'NR==FNR {a[$3] = 1; next} $3 in a' file1 file2
#CHROM POS ID REF ALT FORMAT
1 61442 rs2531261 A G GT:GL:GQ:DP:CGA_RDP:EHQ:HQ:CGA_CEGL:PS:CGA_CEHQ:AD
1 924629 rs28622096 A G,T GT:GL:GQ:DP:CGA_RDP:EHQ:HQ:CGA_CEGL:PS:CGA_CEHQ:AD
1 974662 rs2465135 G T GT:GL:GQ:DP:CGA_RDP:EHQ:HQ:CGA_CEGL:PS:CGA_CEHQ:AD
1 995481 rs9442393 T G GT:GL:GQ:DP:CGA_RDP:EHQ:HQ:CGA_CEGL:PS:CGA_CEHQ:AD