For this scene, Nezha wasn't surprised at all. The Heart Demon, wanting to destroy an Immortal's mind, would naturally attack what she cared about most.
Predictably, Yunxiao cared most about her two sisters, No Brainer and Unhappy.
This trick, though cliché, was undeniably effective.
Look at the younger version of Yunxiao before them—she was bawling her eyes out, clearly on the verge of an emotional breakdown.
Although Nezha was standing right in front of her, Yunxiao was already trapped in her Heart Demon World, unable to perceive his presence.
Nezha thought Yunxiao would stop there, but then he witnessed something completely unexpected: Yunxiao "ate" her two sisters!
"Sob sob... Haha, now our sisterly bond will last forever!"
After saying that, she returned alone to her dwelling.
The youthful version of Old Zhao showed up in front of Nezha.
"Big Sis, where are Second Sis and Third Sis?"