It seemed that I was being punished for never having borrowed in my life and instead saving til we had money for things
It does seem unfair, but it's simply that they have no information on which to judge, it's how it works these days, it's all about 'computer says yes or no' and much less about having a friendly chat with your local bank manager. I'm not even sure if that sort of bank manager exists any more.
When looking at credit files, they see no difference between someone with lots of money who never needs to borrow and someone who has never borrowed because they know they couldn't pay it back.
Imagine that you had a friend who had borrowed money off you a couple of times and always paid it back when they said they would. They have a decent income, can afford their outgoings but are just a few quid short this month. If they asked to borrow £50 until pay day, and you could afford to lend it, you probably would.
But if an aquaintance where you knew nothing about their finances asked to borrow £50 until payday, you'd probably refuse, even if you could afford to lend the money.
That's how credit ratings work and why the OP is being advised to get a credit card, put a small amount of normal spending on it each month and pay it off in full every month. This simple act can be a gateway to all sorts of advantages such as cheaper hire car, purchase protection, free short term loans, reward points, easier access to mortgages and other products like mobile phone contracts, better current accounts, all sorts of advantages, many of which have nothing to do with borrowing any money.