Alice has been Killed Off for Real or spirited away. Normally, this would be cause enough for Bob to stress, but the angst level is upped when he remembers that he forgot to give Alice that one last "Goodbye" or "I love you" just before she disappeared for good. In other words, when the hero says "I never got to say goodbye," it's usually set up as an excuse for him to continue brooding even when it's clear that it's just one small thing in context of the happy times they shared together. This has absolutely nothing to do with Rickrolling, incidentally.