Are you sure the sentence says 'of the boss', not 'to the boss'?
2. 'It is strange' - the speaker is saying that he is surprised now.
'That they should have cancelled the the concert' - the decision to cancel the concert was taken in the past. 'Should' here is used for emphasis. 'Have cancelled' is a perfect infinitive used to express priority. We can remove the emotional colouring by replacing this structure with past simple tense: It is strange that they cancelled the concert.