Deuteronomy 18:11 forbids consulting the dead. Saul did it anyway in 1 Samuel 28:15-16. I know that's different from simply calling out, in that any call to Elijah might have been "Elijah, ask God to have mercy" not "Elijah, give me information." But I can't find any instances of either consulting the dead or even just talking to them, among first century Jews.
Then, like today, Jews were not unified in whether they even believed in an afterlife. (Pharisees, yes; Sadducees, no.) We don't find much evidence of it in O.T.; the Samuel passage is the only part I can find. So if they didn't believe in or talk about the afterlife, they wouldn't talk to the departed.
I can't find any place where the Bible says no, 1st Century Jews didn't talk to the dead. I think it's because it wasn't something they thought of doing, so they didn't have to reject it.
The other confusion here is about English usage, not Hebrew belief. "Pray" in English used to mean "make a request," as in this quote from Romeo and Juliet, in which Juliet speaks to her nurse: "I pray thee, chide not." Juliet is requesting that the nurse not raise a fuss; she is not telling her nurse "I worship you" or "I consider you divine."
English usage has drifted so that "pray" usually means "talk to God or some god."
If you translate the Hebrew into the old English usage, nobody would have said "Prayer is only for God!" because that's not what "prayer" would mean. In the new usage, nobody would have used the word "prayer" to mean talking to a mere mortal.
So how did they react? The next verse or so:
One of them quickly ran and brought a sponge. He filled it with sour wine, put it on a reed, and held it up for Jesus to drink.
But the others said, “Leave Him alone. Let us see if Elijah comes to save Him.”
Since this doesn't express horror at what was said but does express some possible sympathy and definitely sneering disdain, I'd say horror at a supposed doctrinal error wasn't on their minds.