After trying to come up with some perfect response for situations like this I have finally realized that the best, most honest response to things like this is, "How very sad." Though I have also said, "How horrible."
If they want to know more they will ask. If they don't, they at least know that I'm not in agreement with their choice. I found this to be a better approach than silence because that was sometimes assumed to mean agreement
Or, to others, a reason to take offense. IOW, not saying anything didn't at all hide how I felt about it