Perhaps just as bafflingly, that clean sheet, captured under Nigel Pearson, came against Liverpool for their first loss of a 99-point title winning season.
The clean sheet in a 3-0 win over the Reds at Vicarage Road in 2020 was so rare that it even came on a date that only exists every four years, February 29th.
Their opponents went on to win a historical title, a first in 30 years for the Merseyside club and the earliest in top flight history, captured with seven games to spare.
Liverpool were 44 league games unbeaten before that night, 39 of which were wins, and Arsenal's 'Invincibles' record looked in serious jeopardy before Pearson's intervention 27 games into the season.
Some consider Pearson as the man who laid the foundations for Leicester's 2016 odds-upsetting title win, and he was on course to earn more plaudits, turning around a Hornets side that looked destined for the drop.
Surprisingly though, Pearson was sacked with two games to go after what he called a 'frank exchange of views' with club owner Gino Pozzo.
Hayden Mullins stepped in for his second caretaker stint, but took the side down, and was replaced by Vladimir Ivic in August 2020 who lasted just four months at the helm.
Xisco Munoz became the Pozzo's fifth hire in just over a year and finally looked like the solution, guiding Watford back to the top flight in impressive fashion.
However, the much-loved Spaniard was only afforded seven games in the Premier League, with his replacement, Claudio Ranieri, given just six more before becoming the latest casualty.
With recently-appointed Roy Hodgson at the helm, the Pozzo family are now on their 15th different manager since taking over the club in 2012, and no closer to finding a secret for success.
Only two managers, Gianfranco Zola and FA Cup finalist Javi Gracia, have lasted more than a year under the club's current owners, with Watford's 15 managerial changes the most of any team in England's top two tiers over the past decade.
Watford managed five straight seasons in the Premier League between 2015 and 2020, whether or not that's down to their impatience with managers we will never know.
Hodgson has now come out of retirement to join the merry-go-round, but by signing until the end of the season he may miss out on one big perk.
The 74-year-old won't receive the same illustrious pay-off his 14 predecessors did - assuming he sees out the end of the season - although assumptions are a waste of time, as anything is possible at Vicarage Road.