You can do this using \multicolumn which has a width of 1 column; it may seem a little funny, but it's a standard way to fix this.
I've used
\multicolumn{1}{c}{}
in the columns that you didn't want your |. You can read it as a 'multicolumn that spans 1 column, is centered, and has no content'. I also noted that you had an extra column in your tabular declaration which didn't harm things, but I've removed it.
\documentclass{beamer}
\usepackage{booktabs}
\begin{document}
\begin{frame}
\frametitle{Test}
\begin{tabular}{l|l|ll}
\toprule
\multicolumn{1}{c}{}& \multicolumn{1}{c}{} & GBM& MJD\\
\midrule
& 1\% & 1 & 2 \\
Microsoft & 5\% & 1 & 2 \\
& 10\% & 1 & 2 \\
\midrule
& 1\% & 1 & 2 \\
Allianz & 5\% & 1 & 2 \\
& 10\% & 1 & 2 \\
\bottomrule
\end{tabular}
\end{frame}
\end{document}
Some folks would recommend avoiding vertical lines altogether (including the author of the booktabs package), but that is personal preference.
Just for reference, if you use
\begin{tabular}{llll}
which removes all the vertical lines, then you get
See also Why not use vertical lines ('|') in a tabular?
Another idea (thanks @doncherry, @Qrrbrbirlbel) is to right align the columns and insert <{\,\%} between columns 2 and 3; this requires the array package; note that this trick adds a % to each row in that column, so I've had to use the multicolumn trick again to remove it from the first row.
\documentclass{beamer}
\usepackage{array}
\usepackage{booktabs}
\begin{document}
\begin{frame}
\frametitle{Test}
\begin{tabular}{lr<{\,\%}cc}
\toprule
& \multicolumn{1}{c}{} & GBM& MJD\\
\midrule
& 1 & 1 & 2 \\
Microsoft & 5 & 1 & 2 \\
& 10 & 1 & 2 \\
\midrule
& 1 & 1 & 2 \\
Allianz & 5 & 1 & 2 \\
& 10 & 1 & 2 \\
\bottomrule
\end{tabular}
\end{frame}
\end{document}
As you can see, there are lots of details to pay attention to when constructing a tabular! For future reading, you might also like to look at the siunitx which defines (among other useful commands) the S column type.
