In regards to the Jon issue, Ned didn't clue in because all of Robert's children had dark hair - he clued because every time a Baratheon and a Lannister married and produced children, they were black-haired - the gold yielded before the black.
And it's mentioned that Jon purely looks like a Stark.
As for the de-sensitive to deaths, I think it all depends on the wording.
Cat came back, but not Cat - just like the shell that was Beric Dondarrion was no longer really him; he mentioned he couldn't remember his betrothed or his castle or anything from before.
With Arya and the axe, I'm sure it was meant to be misdirection, but the chapter didn't say she was dead, only she was hit in the back of the head.
The Mountain - again, it's not really clear yet, but it seems pretty safe to say he's not the same he was before.
The Hound - the monk iirc said the Hound was dead, if the limping monk is Sandor Clegane than that is pretty accurate, the Hound was a persona Sandor threw on.
Bran and Rickon - again he never came out and wrote their deaths, he left it alluded to.
And for me they aren't less shocking. Kevan's death pissed me off to no end - for me he was a very important support character and I thought he would have a bigger role to play in future.
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