I'm not saying they'd be shocked, I'm saying that if the incident were truly that traumatizing for May that she would probably remember the body. That's supposing that she and Coulson didn't immediately make the connection between Skye's parents killed in incident with SHIELD agents --> Skye dropped off at orphanage 20 something years ago. Meanwhile, in that same time frame, we were in an incident that left a lot of people dead ---> we saved a baby and dropped her off at an American orphanage.
I mean, is this a pretty frequent occurrence for SHIELD agents? Is there a form 1-D that deals with parental slaughters followed by infant stairway deposits, that's just how often this little situation pops up? Because otherwise, I expect that if May or Coulson had anything to do with it they would remember. Especially if, as was suggested, the whole "death of Skye's parents" was the same event that earned May the nickname "The Calvary". That's something May relives everyday. If that's so then I feel like she would have a very clear memory of saving Skye and leaving her outside the orphanage, right?
And if that's true, then why would she and Coulson need to further investigate the files to uncover the whole truth behind the incident? In the scene after Coulson tells Skye that a SHIELD agent dropped her off, he asks May to help him find out everything they can and shows her the file. If they were there during the original murder, wouldn't that be unnecessary?