If you ask someone who rejected you for a job for feedback about how you could do better next time and that person takes the time to respond, you really, really should follow up with at least a "thank you."
Giving that feedback is not obligatory, and many employers ignore those requests. If someone takes the time to help you, that person is doing you a favor. You should thank them.
When I take the time to help someone with feedback and get silence in return, I remember it.