What is the reason for this cards existence? Do I miss something? It's expensive, weak and with no exceptional skill bonus...

I agree that it looks pretty awful. But to defend it's existence, if you compare it to the .32 Colt, it is cheaper and doesn't run out of ammo or if you compare it to the zero-xp Switchblade it does damage every attack, not just on +2 over-successes.

So it isn't strictly worse than some other available choices and we just have to balance those advantages vs the disadvantage of retaliate.

Still whenever I do that it comes out much worse and I think I would rather have a Kukri, or maybe even a Knife.

It's good for weak enemies with a lot of HP.  Many strictly human enemies and ghouls have about 2 or 3 fight and 2+ HP.   Save your Rogue firearms for the tough to hit enemies.  I think it's a scenario call whether you think it will be useful.  I also think it's probably waiting for a 4 or 5 strength Rogue.  Some bruiser that doesn't have access to the Guardian card pool.  That's not a bad idea for Mike McGlen if he gets printed.  .32 Colt does some good work in my Mark deck so I can see this having a very similar function for Rogues.

Right now I think all the investigators who can take this have better options available to them unfortunately.

 I also think it's probably waiting for a 4 or 5 strength Rogue. 

or, a rogue who receives bonuses to skill tests on illicit cards. I've been thinking about this for a while.

Any investigator with decent combat will use these early campaign, I think its a good card. The important thing is that it does extra damage - my general rule is that 1 damage things are bad (Song of the Dead), 2+ damage things are generally fine. 1 handed as well giving an advantage over some other weapons. 

Splashing this into a Zoe deck early on makes sense, you will often be fighting at base +2 with 1 hit kills. Who cares about retaliation if your skill is generally good?