I don't think anyone is really surprised by the news. I don't think Gareth Southgate has the tactical nous to bring out the best of the extremely talented England squad. However, the way he has changed the whole culture of playing for England is simply incredible. The whole perception of what it means to play for England has completely changed.
I also have a huge amount of respect for how he conducts himself both personally and professionally. Whether you agree with his decisions and reasoning (and I certainly have not always done so), he always comes across as a thoroughly decent, thoughtful and dignified man who really cares about the job and the players. It's such an English thing that the level of personal vitriol he faced escalated with the level of success the team had. Chucking beer at the man at the end of matches was utterly reprehensible. No doubt that fed into his decision to step down.
A more tactically savvy and attack-minded manager could take England to the next level. But you have to wonder - with the kind of abuse that the fans and media alike will hurl at you, who the hell would fancy it? Remember, in the days before Southgate, we were reduced to the likes of Steve McLaren and Big Sam, because no elite level manager would touch the England job with a bargepole.