I made it past the first round and I'm a Fulbright semi-finalist — should I tell the graduate programs I applied to?
I doubt that it would have much effect, actually. If you have been, as you say, found to be of a high calibre in one committee, it is likely that you are so viewed elsewhere as well. So I don't think either the pros or the cons carry much weight. 

Of course, if there was one program that you were especially interested in and would decline a Fulbright to accept it, then it might be worth trying to "goose" the committee. Otherwise, just congratulate yourself and celebrate with an appropriate beverage.