Handling PhD funding offers that come before hearing back from all schools I applied to
This answer applies if your schools of choice are in the United States:

Most major universities in the US are signatories to the "April 15th resolution," which gives students until April 15th to accept offers of admission/financial aid. A full list is here: http://cgsnet.org/ckfinder/userfiles/files/CGSResolution_RevisedOct2017.pdf


  Students are under no obligation to respond to offers of financial support prior to April 15; earlier deadlines for acceptance of
  such offers violate the intent of this Resolution




If the schools you are applying to are in the US and signatories to this resolution, they are not allowed to offer and then withdraw admission/financial aid prior to April 15th. Before that deadline, you can politely inform them that you are waiting for all your offers before making a decision. They might want to pressure you to commit earlier, but you are not compelled to do so.

You are correct, though, in assuming that they would like to offer the fellowship to someone else, if possible. Therefore, the polite thing to do is to inform any school that is no longer in contention as soon as possible, that is, as soon as you have another offer you plan to accept, and no sooner.

You could reach out to the schools you are waiting to hear from, but I wouldn't pester them, it is still fairly early in the acceptance calendar (again, from a US perspective) and admissions committees are still meeting to make decisions.