I wrote this as a comment but I'm also answering because I think that's how it shows up in my profile. All three sentences are correct. Passing is another way of saying death so it's another way of writing sentence 2. There's more in the comment. :)

All three sentences are correct. As previously mentioned, passing = death so it's another way to say the second sentence. You could also write .. We were shocked and saddened to learn of the passing of Mr X. Interesting side note* Sudden vs Unexpected Sudden death suggests an unexpected loss caused by an accident, homicide, suicide, or illness. Unexpected death would be an expected loss caused by a medical condition or illness (such as cancer)

The first two sentences are correct. The third one should be "We're all shocked by the unexpected passing away of Mr. X" To pass away = to die.