That was also my first reaction.

But TFA says that H+ reacted with neutral He. That gives you HeH+, which is what they detected. And I see that the ionization energies of He are 2372.3 kJ/mol for the first electron, and 5250.5 kJ/mol for the second. But the ionization energy of H is just 1312.0 kJ/mol. So neutral He would have formed long before neutral H, and He plus H+ was the first possible combination.

Also, HeH+ is an extremely strong acid, so it would grab an electron from just about anything else that it encountered. And neutral HeH is not stable.