What went wrong? I'm not an expert but at least two factors contributed. First, the bad bokeh on the left side of the image is out of focus branches between me and the sparrow. Just like aperture blades, they imprinted their shape on the out of focus highlights. Second, heat waves in the air caused distortion of the highlights. Look at the out of focus specular highlight a little above the sparrows tail. If you enlarge it, you will notice that it isn't a smooth blur but there is extra detail in it.
I could have reduced or even prevented the bad bokeh in the sparrow image by moving my camera to a place without branches beteween the camera and sparrow. That works in theroy but the reality was that the sparrow wasn't posing - I had to follow it. I do try to do most of my nature photography in the early morning before the heat waves become a problem.