Saying that someone is "not amused" strongly implies that they are irritated.

It is a meme from the year 1919! Apocryphally, British Queen Victoria said that she was not amused by a rude joke. The phrase became popular, and since then people have impersonated the queen making this calm rejection.

It's mainly used to indirectly express the feeling of not liking what has been said or done. Thus expressing discontent. From my literature classes, the use of such expressions in literature can hint at specific emotions we want to be aware of. Whether from the sayer or the receiver. Can express a sort of powerplay or other hints about someone's social class or a certain dynamic between people who are using the term.

It means something is not funny.

Not amused means that you are annoyed. Sometimes depending on the context of the sentence it may mean that you are not surprised by what was going to happen. It was not very amusing....