I really can't say how their friendship was over the years, that they were just working with each other as deatheaters, following Voldemort's orders. Severus and Lucius is two 'Private' Beings, meaning not 'Befriending' anyone like Best Buddies for life o Best friends forever. They had their own life that they lead. When Voldy ordered Lucius to get Snape. Lucius did not know for sure what Voldy is going to do. So he went with the order, in light to protect him and his family. If Lucius could get this right, he'll be Voldy's number 1 man again. So afterwards, I think it came as a shock, but being Lucius,,, he does not express his feelings clear, but deep down, I think he was both shocked and devastated, for he lost a his Schoolmate and his fellow deatheater who always did his deed right.
They may not be bosom friends but they both go back a long way. Besides, Lucius had enough time to see that the Dark Lord was not exactly what the wizarding community needed as a leader. He must have seen that he was in fact a psychopath that used the pure-blood supremacists to achieve power. He had been himself a victim of Voldemort's brutality and while he may have not been surprised por Voldemort killing Severus, he must have surely been shocked por the way he had murdered him. The way he fought to keep his family alive is another proof he had lost faith in his Master.
