Obviously can't speak genreally for all, but I would say that it wasn't something that annoyed us too much a few years back - say around during 2011-14 when we started losing our star players. Cos back then, Dortmund still was financially burdened, so there was the understanding that selling players but still gaining success as we did, was allowing the team to get back on it's feet after all the financial problems and it was dealt with really well. But it was of course hurtful and annoying loosing players to Bayern though. We built our squads those years the hard way into these amazing teams, put together for a pittance really, and so what do Bayern do, take our 2 best players in Mario Götze and Robert Lewandowski, so yeah that stings, as it did when Mats Hummels left. But when our players went to places like Real Madrid (Sahin), Man Utd (Kagawa), as much as you don't want to lose them, you understand it and deal with it.
But I think now, a lot don't view it with quiet the same attitude, as we are financially stable, and in europe every year, and play in an amazing stadium in front of 80,000 fans every other week, so I guess there is the feeling that we need to be competing more to keep players. Amd becuase of our recovery and rise the past few years, there is expectation to be competing at that level every year and a lot of pressure on the managment to do so.
With Auba, losing him doesn't bother me so much to be honest, losing Hummels for instance was much tougher a blow - one we still haven't recovered from.
As for other clubs, Dortmund these days spend a lot more money on transfers than all other German clubs (apart from Bayern), last two summers we've actually spent a lot (brought in a lot in transfer fees too of course). So I suppose they work a bit differently. But many clubs in Germany put a lot of emphasis of building through younger players, and do seem to accept losing stars as part of the business. I think maybe a lot of emphasis in Germany is put on good scouting as well, bringing in players for reletavely low fees, for them to then turn into very good players is pretty common. And the money spent on transfers in the league is the smallest of all the big '5' now you can say as France too, with PSG of course leading the way, spend more money on transfers than the Bundesliga.