Not so! This has always been the case, but I don't think it was clarified officially (in the rulebook) until Skull and Shackles. Currently, the Wrath rulebook (page reads "When you explore, flip over the top card of your current location deck. If it's a boon, you may attempt to acquire it; if you don't attempt that, banish it."
Like Deekow says, passing on acquiring a boon is not FAILING to acquire the boon. So deciding not to acquire a Burglar (and who would, they're awful!) wouldn't proc its punishment for failing to acquire it--or at least, I believe that's the case. Cards that penalize you for failing to acquire them are pretty rare, so the subject isn't fresh in my mind on what's legal and what's not.