Does Magikarp's Splash move really never deal any damage?

Splash will never do anything.

You may either be misremembering your Magikarp using Tackle or Flail, both of which are moves that Magikarp can learn that do damage.

You may have also run out of PP for splash (unlikely I know, who's going to spend 40 moves splashing around to no effect?) then your Magikarp will "Struggle" which will cause damage to both your enemy and yourself.