It is both polite and shows good sportsmanship to compliment an opponent if the hit is exceptional.
Golf is supposed to be the "gentlemen's sport" -- which means that manners matter. Of course, show up on any golf course at any time, and you can probably find your share of cursing and bad manners. At least quietly.
But one of my favorite parts of golf are that people tell you when you've done something well. And you always know the serious players by their good manners.