Student or Learner
I am stunned by the news of Sarah's death.
I am stunned to hear the news of Sarah's death.
You look stunned at this normal condition/situation,Is any thing wrong there?
They have been stunned on the bad news from you.
If I relate what surprised, shocked, or upset me, it already happened. I think it would be better to use the past tense "I was..." In your last sentence, you had better say "...stunned by the bad news..." instead of saying "...stunned on the bad news..."