I was so sure that he was working out a deal to fund MIRI. I wonder why they decided to create their own non-profit instead.

In practice MIRI is more think-tank than research organization. AFAIK MIRI doesn't even yet claim to have a clear research agenda that leads to practical safe AGI. Their research is more abstract/theoretical/pie in the sky and much harder to measure. Given that numerous AI safety think tanks already now exist, creating a new actual research org non-profit makes sense - it fills in an empty niche. Creating a fresh structure gives the organizers/founders more control and allows them to staff it with researchers they believe in.