In this sentence, am I really shocked or not?
Solution 1:
Take a look at the definitions of "hardly" in the Collins dictionary you will see that it's effect is to reduce something to a very small amount. This is why
"Hardly had I arrived at the station when the train came"
means that there was only a small amount of time after my arrival before the train came. "Hardly" affects "had I arrived" and means that my arrival had only just been completed when next event happened. In this case the coming of the train happened a very short time after the person's arrival and certainly did not cause the person's arrival. Also there are no degrees of arrival, it is something which either happens or it doesn't. You can "almost arrive" but that means that you failed to arrive by a short distance not that you arrived only to a small extent.
In the case of
Hardly am I shocked when I hear devastating news
"Hardly" affects "am I shocked". This is different from the first example in three ways. Firstly the hearing of devastating news comes a very short time before the experience of shock, secondly, the hearing of devastating news causes the shock and, thirdly, that you can experience different degrees of shock.
Because of these differences "Hardly" reduces the degree of shocking, not the time before the shocking takes place so you are "hardly shocked" or "shocked only to a very small extent" rather than "shocked only a short time after hearing devastating news". "When", in this case, is not part of the structure "Hardly ... when" it is independent of "hardly" and says when the shocking happens.
The sentence could be rephrased as "I am only shocked a little when I hear devastating news" because "hardly" affects the degree of shocking, not the length of time between hearing the news and experiencing the shock. Rephrasing the railway sentence would give "I had only just arrived at the station when the train came" which shows that "hardly" affects the time interval, not the degree of arrival.