I'm not attempting to say HAVING without GROUP BY is invalid, and yes adding MAX(col2) to the selected columns I would then expect the behaviour you describe (and I would also reason the challenge would have been a "doddle" for everyone as it would then be obvious what HAVING was up to).

Its the expectation that HAVING has access to anything that wasn't explicitly worked out at the record selection stage, and thus have access to the MAX(col2) value. SQL server essentially extends the columns selected to resolve the HAVING MAX(col2). So it performs the statement in your response. But that's not in the SQL standard as far as I'm aware.

I hope that clarifies my statement.