Think about it from their perspective. They have hundreds of students clamoring for a shot to interview with them. You have decided that going to your interview with them will not benefit either party. If you don't cancel, someone else can't have that chance to wow them. And the school will miss an opportunity to interview another potential student. So they are delighted to hear from you.
Everyone with any connection to this process wants to see as many people as possible find the right fit for them, and they know that not everyone will be successful. Even if you are telling admissions that you picked another school over them, you aren't hurting their feelings. You found your spot, and they are happy for you you. And you are being polite enough to let them know so that they can move on to the next candidate.
There is no reason to feel awkward. No one's feeling's are hurt. This is a happy problem to have.
