why were they all so surprised?

I guess they think it'll never happen to them. Another movie about the sub-prime crisis, The Big Short, actually has the line that people underestimate the possibility of bad things happening.
They've probably been told/reassured by lawyers or bank staff or whoever they've spoken to recently about their situation not to worry, that it wouldn't come to that, or that there'd be a whole lot more time and legal process to go through before it came to that.
The whole "30 days to appeal" thing was quite misleading too, makes them think they're good for that period of time and longer while the appeal's being considered after being filed.
The first guy Nash evicts even thinks that the people at their door can't do anything while they're waiting for their lawyer to call them back!
In short, they underestimate the likelihood of it happening and overestimate their rights. Possibly filled with hot air by people in the industry who's judgement they trust that reaffirms this.