Diana knows Athena was dead and has not even reacted?
I personally associate Diana's reaction with her being in denial. It's not like Etta's injury, it's not like the death of her mother, it's losing her God. The former two are mortal, the latter is not. I could see Diana having a hard time comprehending Athena's death, to the point that she just rejects it and refuses to even think about it.
That said, it would have been nice to have seen Diana receiving the news. This seems a bit out of nowhere.