I have to jump in here.. when Missy said her name was short for Mistress, and couldn't keep calling herself the Master anymore, I don't know what more you needed for a shocked Capaldi face then what I saw.. so the whole notion of the doctor not being shocked.. I just don't agree with that assessment. Just because he didn't comment on it doesn't mean he wasn't shocked by it, I mean sometimes people are at a loss for words over things that are crazy and shocking..
Well, of course he was shocked to learn Missy was the Master. When last the Doctor saw the Master, he was deteriorating from a botched resurrection and was pouring the last of his life force into a lightning attack on Rassilon. On top of all that, he got sucked back into Gallifrey, which was about to be time locked. So, when Missy revealed she was the Master, the Doctor learned someone he's considered dead for over a thousand years is in fact alive, but more importantly, she somehow escaped time locked Gallifrey, meaning she's a vital clue towards finding the Time Lords. Note, the only question the Doctor had about Missy's return was how could she be alive, not how did she become a woman.