That's cool that you didn't have any problems. I've heard others leave on an ED visa without cancelling and having no issue as well. However, immigration does clearly state that it's up to a 20k baht fine + banned from future long-term visas if they're not informed of cancellation prior to exiting the country.
This isn't correct. In order to formally cancel an EDU visa, you or your school needs to file the cancellation at immigration. You can leave without cancelling but it can create complications with future visas and there's also a fine.