"Sore loser laws" do exist Fuzzy, though how easily they could be enforced would likely be a matter for the courts. Gary Johnson was prevented by Michigan law in 2012 from appearing on the ballot paper due to running in the Republic primary. EDIT: Although that was due to him wanting to use another parties label, Ohio has other laws and so on.

Though it looks like it is "some states" and not "a lot" that have sore loser laws for Presidential elections.