As far as I remember (too lazy to look anything up), Penner was the last one to actually change teams after signing an offer sheet. We're talking, what, 13 years at this point?
As for teams not using them, you do have to wonder if it's worth the time spent on a negotiation knowing that you more than likely won't be getting that player. Sure you can mess with someone else's cap, but that's time wasted that could be spent talking to another free agent instead. What if you're also missing out on that other guy as well?