I tried to track this down, and this seems to be Jaynes's paraphrase of Herodotus; pg 2 of "Bayesian Methods: General Background". (I looked through one translation, http://classics.mit.edu/Herodotus/history.mb.txt , and was unable to locate it.)
I got it out of "Data Analysis A Bayesian Tutorial" pg 4 where it is attributed to Herodotus
Around 500 BC, Herodotus said much the same thing: ‘A decision was wise, even though it led to disastrous consequences, if the evidence at hand indicated it was the best one to make; and a decision was foolish, even though it led to the happiest possible consequences, if it was unreasonable to expect those consequences.’
Here's the new thread for posting quotes, with the usual rules: