首先should have done确实是表示已经做过,这里的should有惊讶的意思,意味着“竟然做过”

你说的it's a pity that he should fail to grasp the chance when it arose,如果没有when it arose,那么这句就应该是it's a pity that he should have failed to grasp the chance

BUT后面有个when it arose!

你从意思层面想想,机会来的时候竟然没有把握住,那么这个没有把握住是和机会来的时候是同一时刻,如果用have failed to grasp,那么意思变成了机会来“之前”竟然没有把握住