Here's an extreme example. I rejected a candidate, and felt bad for him. I gave a specific reason why he'd never get the job. A few hours later, he showed up in the lobby of our office building, coked out of his mind (that's what it looked and felt like, but he was probably just intensely upset). He started demanding to see HR. Shit went from chill to super uncomfortable in 0 seconds flat. I walked up to him, suggested he leave, at which point he realized I'm twice his size, and he departed. Yikes!
I stopped giving invalid rejection explanations after that. It's just not worth it, and that's part of living in the world that sucks more than I'd like it to.
They usually don't. The same reasons apply. In Europe there's less fear about random lawsuits, but there are so many rules about hiring that it's just a minefield with lots of material for very legitimate lawsuits. You didn't get the impression that the applicant is a good culture fit? You better hope his name didn't sound Turkish, or that quickly sounds like unlawful discrimination.