I never saw this post, but the self-solve answer given by @MartinZak is correct.
It’s referenced in the warning block on this page of the documentation:
https://docs.netlify.com/configure-builds/javascript-spas/#build-configuration-for-javascript-spas
With the details here:
https://docs.netlify.com/routing/redirects/rewrites-proxies/#history-pushstate-and-single-page-apps
It’s also mentioned in this support guide:
https://answers.netlify.com/t/support-guide-i-ve-deployed-my-site-but-i-still-see-page-not-found/125
In case there are still questions “why” it’s necessary, I gave a fairly detailed explanation here in the past: