The phrase "it shocked me that" is correct and usable in written English. You can use it to express surprise or disbelief at something someone has said or done. For example: "It shocked me that he refused to help such a vulnerable person.".
It shocked me that he had been so brutal.
And it shocks me, it shocked me that it didn't override this tonight".
"It shocked me that he had enough time to send me a letter".
"It shocked me that I was so unfamiliar with my own religion," she said.
So when the Chinese military turned on the students in Tiananmen Square, it shocked me so much that for weeks I was in a daze.
It shocked me to think that I hadn't, and after 8,034 days of being silent on the issue, I think it's time.
Her condemnation was so absolute that it shocked me.
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Claudia Letizia
Head Translator and Proofreader @ organictranslations.eu