Companies interview multiple candidates looking for the best one, and they'll solicit applications from candidates that will never make it past a phone screen.
Companies don't go into the interview saying "we'll never hire this person, we're just talking to them for the practice".
It's fine to interview at multiple companies that you might consider taking an offer from, but interviewing at a place you know you'll say no to strikes me as, yes, wasting their time (and money, as we usually have a few people interviewing one candidate at the same time).
I believe companies certainly do interview people they don't intend to hire, to get a feel for things like what the field is like, or what the expected salary for prospects with certain skills are. I've heard there are situations where they have a person in mind for a position, but because of corporate policies they're required to post the job and interview people.
I've seen these sorts of shenanigans happen at a public university, where they already know whom they want to hire, and even create a new position specifically for them, but are required to post the job opening to their public-facing jobs website, and are forced to interview at least X number of the people whom apply.
It's fine to interview at multiple companies that you might consider taking an offer from, but interviewing at a place you know you'll say no to strikes me as, yes, wasting their time (and money, as we usually have a few people interviewing one candidate at the same time).