Do you have a source for that? Because I've heard the exact opposite -- that it's not uncommon for Rhodes Scholars to leave without a degree. Not trying to be smart. Perhaps I picked that up by way of a Clinton apologist. They were always putting out lines that they never expected people to fact-check. (Does Sir Edmund Hillary Rodham ring a bell?)
I don't have a source, and to a certain degree I must admit I'm guessing. Consider, however, the typical Rhodes Scholarship winner: perpetual scholastic achiever and "grade-getter"; think "Lisa Simpson, if Lisa Simpson were a varsity swimmer." These are not the kind of people who willingly pass up the chance to add to their CV not merely "Rhodes Scholar" but also "M.A., Christ Church [or whichever] College, Oxford University."
I googled around a bit but couldn't find any stats on frequency of degree-getting.