Why did my wget not die after ssh connection loss?

Programs (and scripts) can choose to ignore most signals, except a few like KILL. The HUP signal can be caught and ignored if the software so wishes to.

This is from src/main.c of the wget sources (version 1.19.2):

/* Hangup signal handler.  When wget receives SIGHUP or SIGUSR1, it
   will proceed operation as usual, trying to write into a log file.
   If that is impossible, the output will be turned off.  */

A bit further down the signal handler is installed:

  /* Setup the signal handler to redirect output when hangup is
     received.  */
  if (signal(SIGHUP, SIG_IGN) != SIG_IGN)
    signal(SIGHUP, redirect_output_signal);

So it looks like wget is not ignoring the HUP signal, but it chooses to continue processing with its output redirected to the log file.

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Requested in comments: The meaning of the ? in the TTY column of the output from ps in the question is that the wget process is not any longer associated with a terminal/TTY. The TTY went away when the SSH connection went down.

Simple: wget does not abort on SIGHUP. It does on SIGTERM and SIGINT, though.

There is nothing on the man page but if you sent SIGHUP to a wget process then you get this in the terminal:

# in a different terminal while wget is running (with PID 12345)
kill -HUP 12345
# in the wget terminal
SIGHUP received.
Redirecting output to 'wget-log'.