I am surprised that he did/should do/should have done it
Solution 1:
The first implies that I am sure that he actually did it yesterday.
The third implies that I have reason to think he did it, but I am not certain: perhaps I have heard that he did it.
The second does not seem natural to me, but I would take it to mean the same as the third.
This is a (comparatively rare) instance of English encoding evidentiality