Sure, I would imagine they are completely shocked on a number of levels, that Caylee is missing first of all, shocked at the radical change in KC (i.e. her first jailhouse call with the parents, etc), and also that she (allegedly) didn't tell them anything about Caylee being missing. Though KC has maintained that at that time she still thought she would be getting Caylee back, that she was trying to locate the babysitter through their social circles, or other means, etc.
I am not recalling anyone speaking of a "radical change" in KC. I do remember hearing JG and RG (I think it was on Geraldo) state that this was not the KC they knew. But were there any others? It was just surprise that she could go on partying and acting so carefree and happy while Caylee was missing.