The British have "bloody" as a swear-word, right? And the Australians, so far as I am aware, also have "bloody." But here the only people who have it are people who are consciously trying to sound British, or else people who have been exposed to such a large mass of British literature, TV, movies, etc., that they end up sounding slightly British even if they're not trying. Most Americans do not register it as rude at all, not even as something their grandparents would have found rude but they themselves are unfazed by. It's just...not here.
And when I was a young adolescent and my parents and I were sorting out which things were vulgarities and which things were blasphemies, my mother explained that it comes from reference to God's blood, the wounds of Christ on the cross (see also "Zounds!"), etc. So it's certainly not that such a reference would not have occurred to the English-speakers who came to settle North America.
So what happened to "bloody"? Where did it go? Did they horde it in little ice caves up in Canada, or did it just never get here? And if not, why not? We kept all sorts of other good Anglo-Saxon swears. Why not this one?