Any armed security worth their salt would have snipers on roofs at large gatherings.
They did have them here; there are photos of them. The assassin was also apparently on another roof; I linked to what is a purported picture of his body on the roof off Reddit in my comment above.
Hmm.
kagis
According to CBS, Trump apparently posted that his ear was hit by a bullet, but I suppose that he might also not have known what hit him:
https://www.cbsnews.com/news/trump-says-shots-pierced-injured-ear-rally-pennsylvania/
Back when Reagan was shot, he didn't even think that he'd been shot, was ticked off at the Secret Service guy who threw him into the car, thought that the guy had broken one of his ribs.
EDIT: Though Teddy Roosevelt knew:
https://en.wikipedia.org/wiki/Attempted_assassination_of_Theodore_Roosevelt