I don't care either way when it comes to grades, and I don't know what it would mean to get a B in improv. I can understand that among a few dozen instructors a system of letter grades might be an important shorthand, but among a few hundred students letter grades could lead to a lot of confusion.
Assigning a grade -- or at least making them public -- would put instructors at risk of being forced into negotiations with students, who might argue about why they deserved an A minus instead of a B plus and what they could do for extra credit. Anyone who's gone to high school, college or seen "Election" can probably understand this.
What I have valued more is the feedback from my instructors, many of whom give out their personal email addresses -- at great risk of being invited to a thousand improv shows and being challenged to a million games of Scrabulous. I've saved the emails I received from my instructors, and refer back to them all the time when I need a reminder of what I need to work on, where I used to be, and how far I've progressed.
I had a writing professor who gave out pass/fail grades. When a student asked why he didn't give out letter grades the professor replied, "Because I can only judge your writing against your writing; this isn't a math class." He explained that any quantifiable system - grading for good punctuation or grammar, for example - would reward by-the-numbers writing and inadvertently punish, or at least discourage experimentation. I think the same holds true in improv.
Think about the few things that really make a person "fail" a class: not attending at least two shows at the theater, showing up late frequently, and missing too many classes. Everything else is subjective. Everyone is given equal opportunity to improve and move forward, and no one is denied entry into the next level without an explanation. (If you're told to re-take 401 or some other class, it's usually accompanied by a reason why.)
All in all, there's simply no system that I can imagine (stars, numbers, Del Close skulls) that would be as helpful as the personalized feedback already on offer from the school.