If the bat was infected, it's not necessary that the bat be able to break the skin by biting. You might have an opening from some other cause as insignificant as an ingrown hair or a pimple you've popped recently, or the bat might be able to scratch with its claws enough to make a small opening. If the bat deposits saliva (or other body fluids) in contact with any opening, perhaps while trying to bite in the vicinity of an existing scratch there is some risk of infection, although in this case it seems a very slight risk.
The most "telling" warning is that you were able to catch this one a bit too easily, which might indicate it was "unhealthy." A healthy bat usually is very difficult to get a grip on unless it's landed somehwere. They're a bit clumsy about walking. But the kind that fly around barnyards in my vicinity are quick enough when in flight to evade shotgun pellets - apparently quite easily - or to catch them 'cause they "echo" like a fast moving bug if they're at long enough range to have slowed a bit.