How do graduate schools feel about a student not accepting an offer? I'm sure it's common for students to reject 1-2 recommendations for admission to a graduate school, because they often apply to several places and sometimes they get accepted in more than one place. But what impression does this give to the graduate school when the student doesn't accept the offer for admission (not sure if this is the correct term)? Specifically universities in Europe where a lot of them don't have application fees. If you apply again in the future, are they likely to not accept you based on this information they have about you from the past? Is that information used at all?

In my case it's admission to a Master's program.

Additional question: if I got accepted to my first choice, would it be better if I told the other universities to cancel my applications?
In general, there is not much memory for individual students who act responsibly. Turning down an offer in a reasonable time period is acting responsibly. Initially accepting an offer and not turning it down until the last minute after external and internal funding applications have been made, is less responsible.

I would let departments know as soon as you know you are no longer interested. That means if you have gotten into your first choice school with a nice/fully funded offer, you should turn everyone else down. If you have gotten into your first choice school with a crappy funding offer, you need to decide for the remaining schools what you would do if they gave you a great funding offer. Any school that cannot make an offer that you would accept, you should let know.