They are devastated that Sherlock Holmes (Cumberbatch) kills Charles Augustus Magnussen (Lars Mikkelssen) in Season 3, Episode 3 (His Last Vow) of Sherlock. They have a right to be upset: it's not an act of justice, but of lawlessness, so how can Sherlock be a defender of society if he doesn't uphold the laws? We could even say that, unlike Moriarty's attempt at debunking Sherlock as a hoax to the world (just before Sherlock "died"), this is even more serious because Sherlock discredits himself by his own hand and someone does actually die.
This is, in other words, a most serious issue.
Sherlock sacrificed himself.
While Magnussen flicks John's face, he says, Janine makes the funniest noises when he flicks her face, to put her on the level of an animal; hearing this, we feel sorry for her and how Magnussen must have treated her, but now, because of Holmes (and Janine feeding him to the media), she has a lovely cottage and doesn't have to work for Magnussen anymore, so we could say that Janine is saved as well (we could say this), but this only brings us to a greater mystery,...
Perhaps Mycroft has become jealous of baby brother and wants the glory for himself,.... perhaps Magnussen is just too big an adversary and Mycroft fears for Sherlock (I think this is likely given that, after Sherlock shoots Magnussen, Mycroft sees Sherlock as a little boy again, and is frightened for him). What we know for certain, is that Mycroft tells Sherlock, that losing Sherlock would break his heart, and so Sherlock should not go to Eastern Europe (like Irene Adler without her blackmailing camera phone, Sherlock will only last about six months before he's killed). So, it's my theory--but I am usually wrong about things like this--is that it's Mycroft who "engineers" the return of Moriarty because Mycroft can't bear to let Sherlock die in exile, and Mycroft knows that Moriarty is the one foe big enough that only Sherlock can take him on, and Sherlock will have to be recalled (so he'll be saved).
Eat Your Art Out,
The Fine Art Diner