Why do ¬, ∀ and ∃ have the same precedence? I thought the order of precedence of operators and quantifiers was arbitrary, but I don't really understand why those three have the same "strength" in relation to other operators (e.g., ¬ will have precedence over ∧, but not over ∀). This leads to the rule being that ¬, ∀ and ∃ will bind to the closest predicate on their right (if I understood correctly). Why is this?
Order of precedence is simply a notional convenience. There is no notion of strength here, just notation. All three operators are unary operators with notation "$\circ\  \cdot$", where $\circ$ denotes the operator symbol $\exists, \forall,\neg$ and $\cdot$ the operand. There can never be any ambiguity in which order to apply these operators: the operator to the right must always be applied to the operand first.

Hence, they have the same precedence among eachother if we consider only those three operators.  (Note that there can be ambiguity if the unary operators have different position, e.g. $-x^2$, this could mean either $(-x)^2$ or $-(x^2)$ if there was no precendence between $^2$ and $-$.)