>>323306024
Oh, definitely. If you're actual friends and not just acquaintances it's only polite to do so. I suppose the people who leave are afraid that others will mock them, or they simply have no idea how to inform you about leaving if the both of you are not in an ongoing conversation. There's also the underlying doubt about your response. E.g. "why should I care?" Or something along those lines. 
I had to 'train' my irl friend to accept that they are a part of my life and that they shouldn't just disappear because I want to see them off, or as you said, to know they're okay. Took quite a long time but it paid off. Encouraging your friends to be more open is 100% worth it imo.