How frustrating. It's only polite for a program to send a letter to applicants who are out of the running. It's the least they could do after taking your application fee.
It doesn't end at grad school admissions though. I once interviewed for a college faculty job. The college brought me down for the day and paid for my airfare, hotel, and meals. Then I never heard from the search committee again - not even so much as an email. Fortunately, the feeling was mutual!