Anyone ever heard of Chekhov's Gun? It's a literary/dramatic rule, which can be paraphrased as "If you show the audience a gun, it needs to go off an act or two later."
In other words, it's a basic law of storytelling that when an element is introduced into the story that seems like it might be important, it probably should be. Maybe not right away, but at some point.
Given that this rule is embedded in virtually every movie or book (and probably most RPG adventures) the players have ever experienced, how can anyone be surprised that some of the players persisted in the suspicion that the pipe was important, even if the GM attempted to dissuade them? At best, the players were getting mixed messages: "Here's something that might be important. But you shouldn't check it out."
If the pipe was there for a real, story-related purpose (not entering the keep, but something else--an escape route, a trap that comes into play later, or whatever), the GM needs to convince the players to move on through gameplay. Maybe the pipe entrance is barred or too high in the cliff-face to reach. Maybe the rogue or a dwarf could identify its role as the business end of a trap. Maybe there was a rumour about this defense in the town the PCs passed through.
Or maybe they do explore it, but it's handled with a gloss: "OK, you spend a couple hours climbing the slimy, wet tube. It ends in a sealed door. Clearly this is a regularly used outlet for water, but there doesn't seem to be a way in. Two hours later, you rejoin your friends." Or whatever.
If the pipe does not serve the story, why is it there? If it's just an exercise in the GM's dungeon engineering skills, well, the players can be forgiven for finding that less than compelling. If it's purely a fulfillment of the simulationist creed that "some roads are just dead ends," then why are we even having this conversation--except that clearly this simulationist creed didn't result in a very satisfactory session for the players or the GM.
Either way, I point you back to Chekhov's Gun. If you put something in your adventure that seems important, your players are going to assume that it is.
And, to answer the OP, using Chekhov's Gun effectively is both a skill and an art.