PayPal Pro IPN doesn't record failed recurring payments
Once upon a time, some payment processors recorded failed recurring payments, others didn't, based on the preference of the author.
These days, we've settled on "failed recurring payments should create a failed contribution entry" across the board, except PayPal Pro, which has the note "// Also consider accepting 'Failed' like other processors.".
I wrote a patch for this years ago, but at the time it wasn't settled that this was correct behavior. I recently had another client request this functionality, so I'm going to modernize the patch, put it in production, and submit it upstream if it looks good.