One requirement in a mendelian randomisation analysis is that the genetic instrument (SNP) must associate with the outcome (MI) only through effects on the intermediate phenotype (HDL cholesterol). So the selected SNPs were exclusively associated with plasma HDL-C and not having pleiotropic effects on purpose - because the hypothesis tested via a mendelian randomisation analysis was that the association of a plasma HDL-C with MI is causal. I find the study data very compelling, still given that no study is perfect and HDL is complex, it is possible and makes sense that subtypes of HDL molecules and/or other interactions/factors (not plasma level) play a role and are yet to be determined.
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