This just happened to me in a 1.09 Hell game, so I suppose it can happen from time to time. I don't think I spoke to Cain before heading down to Radament, but if I didn't, there have certainly been other times when I didn't, and never found a scroll when already in possession of the cube.
I don't remember if I got the quest from Atma first either, but neither that would be a first.
The thing I definitely did for the first time on that game though, was to open Radament's chest before killing him (he was MSLE so I took my time). Could it be you did the same?
By the way, the Horadric Scroll is a stupid item to carry around; it's useless and won't go into an ATMA stash. So I just have to bear it. Like a good luck charm (or so I like to think - hey, it worked for a grailie fairly soon).