Your life total went to 1 via damage, and could not go down further via damage. However, your opponent's abilities made you lose life, which is not damage, so you went down to -3. All "until end of turn" and "this turn" effects end in the cleanup step, which includes Angel's Grace's "you can't lose" effect. Your screenshot shows you in the opponent's cleanup step, so the effect ended. In the cleanup step state based actions are checked one last time during a turn, which include a player losing the game for having 0 or less life. Nothing was protecting you from that anymore, so you lost. Even if that were not the case, you would have lost in your upkeep before you could have done anything since state based actions are also checked before any player receives priority.