Did you book an 'Expedia Special Rate' or another expedia rate? Special rates are just like Priceline, IMHO .. you pay a certain amount and Expedia pays the hotel a possibly different amount on your behalf. Hence, no receipt.

In the past I too have gotten receipts on Priceline stays and the like at various hotels, but more and more I don't. It's probably just because they are getting smarter. It used to be you could look up Starwood, Marriott, etc etc reservations no matter what -- Priceline, Expedia, etc. Now those hotels have become smarter and have blocked those rates from being displayed online and probably trained their front desks in a similar fashion.