Things that should not have happened = things that happened in the past that we didn’t expect OR didn’t agree with
Form = should + not + have + main verb in infinitive: e.g: The UK shouldn’t have left the EU https://www.theguardian.com/world/2020/apr/15/romanian-fruit-pickers-flown-uk-crisis-farming-sector-coronavirus
E.g Trump shouldn’t have said it could be interesting for medical doctors to test the effects of injecting disinfectant into the lungs