The most common and most likely answer to this crossword clue is the 4 plus 2 letter word DEAR ME
I've seen this crossword clue in The Times
D
E
A
R
M
E
More clues leading to the result DEAR ME
- Only some of brigade armed? I'm shocked!
- Armed criminal clutching end of knife? Gosh!
- Weapon found in British river — good grief!
- It's a shame only part of brigade armed
- Expression of dismay in note written by beloved
- Intimate debilitating disease that's quite shocking
- Expression of dismay as French cop mislays info about Spain
- “D’oh” sounds as if it could be “doe”, pre-Middle English
- Model remade well!
- Gosh, I come at a price!
Buddy explains!

The straight part
We know that "I'm shocked" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case i'm shocked = dear me.The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.