Your use of the waitgroup is off; Because the Add instruction is inside the goroutine, it may not run until after wg.Done is called, which will return immediately.
Still, that made it less flaky for a bit, but the it printed again! And I realized what else is going on: There's actually time between when the deferred functions are executed and the program exits! Which is fascinating, but unlikely to matter in practice. It brings me to another question: do deferred statements still get called when there's a panic on a different goroutine? And the answer seems to be no; adding a deferred print to the main function does not print.
You're right about the Add(1) and defer. defer in itself is pretty interesting in how it's called. Basically there's the main body of your function and then a list of things to do before return, of which defers get added to. So, your theory is correct.
I think intuitively I probably knew that a panic in a goroutine will shut down the main thread, it just didn't occur logically to me when I read it; which is an interesting paradox. Maybe that's a me-thing though.
Personally I don't use panics or deal in them that much, mainly because stack traces with multiple goroutines are unbelievable. I much prefer errors.