I made it past the first round and I'm a Fulbright semi-finalist — should I tell the graduate programs I applied to? I have not heard from any of the programs (Physics PhD) I applied to yet.
My thoughts on the effect of a brief email to the graduate coordinator are:

Pros —
The admission committee at the graduate program will have the knowledge that another committee (for a prestigious scholarship) has reviewed my project/profile/etc and found me of a high caliber.

Cons — The admission committee may be annoyed by my contact, viewing me as trying to score some "brownie points." It is only semi-finalist, I still have to be selected in the final round.
I doubt that it would have much effect, actually. If you have been, as you say, found to be of a high calibre in one committee, it is likely that you are so viewed elsewhere as well. So I don't think either the pros or the cons carry much weight. 

Of course, if there was one program that you were especially interested in and would decline a Fulbright to accept it, then it might be worth trying to "goose" the committee. Otherwise, just congratulate yourself and celebrate with an appropriate beverage.