You don't understand: You'll receive an error only if the machine sends you an error packet which makes it all the way back to your machine. The 'Connection Refused' is a message from the destination machine¹ telling you to go away. No machine means there's nothing to receive the packet and send you an error result.

Why can't some other computer send you a 'Destination Unreachable' message? Well:

1. Whose responsibility is it to do that? No one has that responsibility.
2. How can they tell that the host doesn't exist? Since a computer doesn't have to support any network services, there's no way for a different computer on the network to tell if the computer actually exists or not.

If you require feedback, then you need to use a connection with TCP.

...roboticus

1. Usually it's the computer. Some firewalls, however, can be configured to send a 'Connection Refused' because the network administrator doesn't want that sort of inbound packet.