Why does Bash history not record this command?

The ! character triggers history expansion, as you discovered. This step occurs before a command is saved to the history, so that it can saved into the history with the expansion already done. When an error occurs in history expansion, bash stops processing the command, and so it never gets saved into the history.

History expansion allows previous commands or parts of previous commands to be substituted into the current command. If this was done before saving the command to the history, it could mean something different each time it is executed, because the previous commands are different in each instance. See http://www.gnu.org/software/bash/manual/bashref.html#History-Interaction

For reference, zsh's behavior is different. It will save the command but with the history expansion missing.

 bash: !": event not found

This is because, in the default settings for an interactive shell, Bash performs csh-style history expansion using the exclamation point. This is not a problem in shell scripts; only in interactive shells.

The easiest solution is unsetting the histexpand option: this can be done with set +H or set +o histexpand.

You can read more about this here on the Bash Pitfalls website.