We were shocked AT the scene we saw. We were shocked AT the sight we saw. We were shocked AT the view we saw. The view = what you see from a window; balcony; etc. It is not the same as "sight" or "scene".

The previous contributor is mistaken, I would ignore that grammatically incorrect sentence. I suggest, "We were shocked at what we saw." Or, "We were shocked at the scene before us." Or, "We were shocked by what we saw."

It would be more comfortable if you said, 'We were shocked because of the what we saw." You could use because of for all of them. Also, changing my "what" to the three ones that you used is fine.