it might not seem a big problem for those with thousands of points it certainly shakes the confidence of new user like me
Think of it this way: by setting a bounty, you're not 'buying' an answer; instead, you are buying exposure for the question. You've gotten the exposure, and it is important to capitalize on it to do everything you can to optimize the chances that the exposure will translate into an answer.
However, it's simply the case that some questions just won't get answered because they are too hard or the site does not have users with the expertise to address them; getting a bounty optimizes the chances of reaching those users, and typically leaves the question in a much better position to be answered when they do show up - but you do need to do your best in all fronts to ensure the question is as answerable as possible.
Having a bounty go to waste can indeed be demoralizing if you look at it from a transactional perspective; to avoid that, you should focus on what the bounty does (provide exposure) and capitalize on it.
If it makes you feel better, as mentioned in the previous thread on the topic, there's been something like 740 non-awarded bounties on the site so far, so this is part and parcel of the mechanism.
Regarding the proposal to change the mechanics of the bounty award process: this site shares its core Q&A engine with over 160 sites, and it is very uncommon for site-specific changes to that engine to be implemented. The bounty system is a core part of the Q&A engine and it has been finely tuned over 8+ years to respond to many different pressures - including in particular the temptation for users to game the system, which increases dramatically if bounties can be refunded, and the drive to put as much of the day-to-day moderation as possible on the community and not on the elected moderators.
If you do want to propose changes of this magnitude, the place to propose them is the network-wide meta, Meta Stack Exchange, where there are a lot more people with a deeper understanding of the ramifications of any such changes. This particular issue has come up many times before there, particularly here, and you should search that site extensively before posting as most variations on that theme have already been asked.