While two weeks' notice is (not-so) common courtesy I don't think it's mandatory by any means; you hear of a lot of people who resign "effective immediately", which is just a politically correct way of saying they quit. Based on what Punk's said the WWE has shown little regard for his physical health and was pressuring him to return sooner than he felt physically capable, a pretty serious thing made all the more serious by the fact that his occupation revolves around his physical well-being. That to me sounds like an unsafe working environment, and it's not like there was a shortage of guys who wanted to fill his spot. But these are the areas where the differences between being a professional wrestler and working a corporate job are more pronounced.
The thing about gratitude is that it, as with most things, is a two-way street. Just like any wrestler before or after him Punk gave the WWE (and all of the other promotions he worked for) his body, and over the last little while there was a steadily-growing list of "notches in his belt", incidents where he felt he was getting the raw end of a deal: putting over part-timers, being rushed to get back in the ring, being asked to sacrifice a bigger paycheck by turning heel, having to work with someone who already had a record of being an unsafe performer in the ring, and so on. At that point, not a lot of people would have "taken the high road" and allowed themselves to be written off. Given the opinion of Punk backstage he probably would have been sent off in humiliating (certainly in his eyes) fashion, and for somebody who takes so much pride in not portraying a character in the ring I'm willing to bet Punk wouldn't have taken that lying down, either. You might call him ungrateful for that - I certainly don't - but I'd have less respect for him as a man if he had stuck around and let them do him dirty one more time, on top of all of the other incidents he's mentioned.