It's not an unspoken rule, it's in the base game rulebook:
"Gain a card" - Take a card from the Supply and put it into your discard pile.
Then follow some exceptions that an effect can explicitely tell you to gain a card from another place or not to your discard pile. But they don't apply to Duplicate.
Calling Duplicate on a Province is not legal (usually), as a Province doesn't cost up to $6 normally. Calling Duplicate on a Will-O'-Wisp, or even a Curse, is legal, and it has an effect: The Duplicate returns to play. Both are normally strategically bad decisions, of course.
The game, like many other games, doesn't prevent you from making strategically bad decisions. You can fold with a Royal Flush in hand, for example.
That being said, I agree with you that presenting the option to Duplicate cards like Will-O'-Wisp or Curse is very often not helpful. Calling the Duplicate back into your deck "for nothing" is rarely a reasonable move, so it isn't really done by those who know it doesn't give them another Will-O'-Wisp. For those that don't know or aren't sure, it's a temptation to do something that ultimately proves not helpful, as in your case. So I'd think this could warrant an autoplay.