Yes, the sentence is correct and is almost like saying that it was a stunning performance. Saying she was stunned by their performance does not convey if it was a negative or positive reaction. But if you speak of a stunning performance it implies that it was a good performance. If it was a bad performance I would say "their performance was stunningly bad."

Stunned is like amazed. Amazed is like impressed... Very positive, I can't see how it would be negative. I think it's just that we assume that it's positive because it usually is, but if it was in a different context it could be negative.