Funny enough, the Sovereigns were also shocked about the death of the great god of fire. They are not like transcendents who don't know what is needed to kill a god. They know what to do to kill a god but they can't kill a god so easily. They will have to go to the divine plane to do so which will lead to their death. But then a god came down to the plane alive and was killed in a few seconds of fighting. It shocked them to the core.
The way that the grand god died shocked them but what shocked them the most was that they thought that the gods would be most difficult to kill and therefore the last to kill. So if the gods are already dying, are they not next?