I think you have to take into account the history of the family. He obviously had worked out the best thing Sheila could do for herself was to kill her kids and commit suicide. So it wasn't a shock when she finally did it.
Rob, the reason Jeremy wasn’t shocked was that he already knew they were dead!
He’d crept into WHF as cold as ice, with no feelings, and shot his whole family dead. He was capable of doing that. He did it with the same lack of emotion as shooting a tree for target practice.
I don’t understand your reasoning when you say he wasn’t shocked because “he’d worked out” the best thing Sheila could do for herself was to kill her children and herself?! How did he come to that conclusion?!
Energy if she had done that, which she didn’t, he’d still have been deeply shocked!
And how about his mum and dad?
Did he think to himself “Whoa! You went too far there, Sheila! You shouldn’t have shot Mum and Dad too. Bang out of order that is! I’ll leave this mess to the cops to get on with, I’m bloody starving. Gonna do myself a nice fry up with plenty of toast and a cuppa”