Jon is on a different level from Ned and Robb; Ned certainly was a shock, given that he looked like the main character in the first book, but when it's a series of five/seven that's not nearly the same thing as killing the guy who's been the main character of the whole thing. Robb wasn't even a POV figure (his death in the show will probably have a bigger impact for the unspoiled since the show doesn't have that distinction).It's an anticlimactic, seneless death, but those can happen and indeed his half-brother (or cousin if you're into the whole R+L=J) died in a very similar manner.
Paralleling Jon and Dany in the fifth book, it's about them both fumbling their responsibilities as leader; there's no real reason to think the remainder isn't about them recovering from that experience.