The manner of Shireen's death was clearly signposted in both the show and the books. So the shock factor should be mitigated somewhat.
What did surprise me was Stannis' role in it. He's a difficult character, sure, but the way he's been drawn in the books would have me believe that this would be a step too far. it's more credible to me that Selyse and Mel would be the driving force behind the deed.
I wouldn't be surprised if Shireen's death plays out quite differently in the books.
This is where the show goes wrong for me. GRRM has created a universe of psychologically plausible characters. And he (almost) always puts human motivations above cheap plot devices/opportunity for spectacle.
Now that the show has more of a free rein (in the absence of written material), it's failing to honour that. The treatment of Jaime is a case in point. When he raped Cersei last season, that was totally at odds with the complex character emerging in the books. You can't helping thinking Benioff and Weiss just wanted to get a bit of scandalous twincest action in there as it'd been a while.
Their interpretation of the Dorne plot is a disgrace. They're just using the Sandsnakes for some sexy warrior girl action. They've cut all of the interesting Dornish material in the books (inwardly weeping for the loss of Arianne). Now, I get that it's difficult to work out where George is going with the Dorne plot lines based on the books so far, but they can at least pick his brains over it.
I wish they'd stop messing with things they don't understand, basically.