Out of sportsmanship, they should shake hands, but it's not required. Harden and Paul are ultra competitive and want a championship ring so badly. With this loss, the Warriors just stabbed them in the heart and now you have to shake the hands with the people that just stabbed you (figuratively) ?!?!
I can understand why they dont shake their hands, because it is too painful and frustrating. They still respect the Warriors, as they didn't walk off the court before time expired ( like Kyrie did against the Bucks, when the celtics got eliminated).