Depends on the sport. In baseball, since people can't go back in after they're substituted out and no team is really beat until the final out, the starters typically stay in the whole game with the exception of the pitcher. And it's not like you can tell them to not swing at any pitch.
In football and basketball, where games can actually be "won" before time expires to the point where no opposing team can realistically come back, yes it's considered bad sportsmanship to run up the score. Usually, when the game is in hand, the coach will put in the scrubs at some point. Not only does this give the bench players some practice at the real thing, but it protects the starters from injury.
It also depends on the level of play. In high school and, to a lesser extent, college, the coach is more likely to empty the bench. At the pro level, the starters are more likely to play the whole game even with big leads. Plus, when you're getting paid lots of money to play the game, you're kind of expected to man up and deal with big losses. Though in football, if the game is in the bag and only about two minutes remain (and the other team is out of time outs) it's a pretty dick move to do anything but kneel down a few times.
I think the idea is that both teams usually already know the game is won/lost. The only reason someone would keep starters in at that point (and risk injury) is to pad stats and so it's insulting to the opponents from that angle.