Do non-academic extra curricular activities matter for grad school applications?
In general. non-academic activities are not considered for admissions for schools and most fellowship programs in the US. The primary reason for this is that graduate programs are looking for people who will become excellent scholars and researchers (and sometimes even good teachers!). Success in sports and other highly non-academic activities is less likely to have significant influence in assessments of one's ability to do research, and therefore is not strongly considered. 

However, there are exceptions. People can choose to fund activities however they choose, and can place whatever restrictions on the use of the money they donate. For instance, an alumnus could fund a fellowship for PhD students who play the tuba in a college marching band. While this doesn't happen often, it can be done. But typically admissions committees aren't concerned with such issues, and don't take them into account in making admissions decisions.