Should I always expect to receive proceedings at conferences?
No, obviously you shouldn't expect to always get printed proceedings. Your recent experience proves it.

Yes, giving out proceedings to participants is a tradition to make sure they have access to the papers during the conferences. Nowadays, everyone attending a scientific conference has access to the internet, and everyone as a whole is becoming aware that wasting resources (paper, electricity to run the printer, etc) is harmful to the environment. (Of course, it doesn't prevent attendees from flying around the world to attend the conference, but "one step at a time I guess".) They have put the proceedings online, so you have access to them.

And honestly, if downloading the papers one at a time is such a hassle, maybe it's a sign that you weren't even going to read them all anyway. Finding one paper is a stack of dozens is also a hassle! And if we are not talking about dozens of papers, then the argument that downloading them one at a time is annoying does not really hold much water. You can report this minor inconvenience to the conference organizers, but be prepared to the fact that it will be dealt with like all other minor inconveniences.