Yes, they have to file their own return so that they can show form 8962 because their name is on the policy; however, that does not mean you have to amend your return if they indicate that they are being claimed as a dependent on their return.
Note that you may need to go back and update your 1095-A to show that you will take 100% of the allocation. In this case, your dependent will take 0%. This is normal for parents who actually got the Premium Tax Credit and dependents who didn't have anything to do with it.
Have them claim 0% on their 1095-A when they enter it. It's possible that IRS may eventually realize that the dependent asked for 0% allocation while you did not ask for 100% allocation, and they write you a letter asking you to update your 8962 form. If so, do whatever they ask.
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