The reason was lack of credit history, not bad credit; missed payments = nil.
I am now second guessing if I still want the P85+ or a more luxurious car since $120K opens up a lot of options.
I think the best way of looking at this is turning the tides around. You own a business, if someone came to you, showed you that they had a million dollars but there was no history on them, would you do business with them where you can be left financially hanging?
The whole point of a credit history is to show that you pay bills on time and have a stable flow of income. There are plenty of people who earn a lot of money and end up bankrupt the following morning. Not saying you are one of them, but as a business owner you should be well aware that there are risks to doing business.
It may not even be related to them, sometimes financial companies get insurance and there might be requirements that they must meet for that insurance.
As far as which car to get, as the saying goes. You only live once, get w\e makes you happy. Though there are not much cars in the 120k range that can compete with a Tesla Model S, it is hard to go back after driving one.