There's no cost, agreed. But isn't it difficult to judge based on behavioral interview as opposed to a well compiled profile? I didn't even have much time after office, gave my interview in a haste, without prep, no re-recordings, and gave it in low lit room. If you just judge me based on interview, you would most likely reject me.
I think that says a lot about your candidacy if you blew off the interview. If you show a lack of preparation in the interview for the school, what should Columbia think about your preparation towards job interviews or your interest in the school itself? At the end of the day, an MFE is a professional degree, and being hireable is important for these programs.