I guess it's true that he never had come out and said "Yes I'm going to physically exterminate millions of people via concentration camps", but why was the discovery of the camps so shocking? I'd think it'd be expected by anyone who bothered to read through his plans or listen to his virulent hatred against Jews. He and other Nazi leaders had many many many times publicly talked about how Jews were subhuman and deserved nothing than to be vanquished.
So did people just not... pick up on the logical implications of such hatred? Both people in Germany and foreign intelligence experts?
Nothing like it had ever been done before.
Jews had been the subject of multiple pogroms and other forms of discrimination all throughout German and European history. Hitler was far from the first anti-semite to be in power, and the marginalization and persecution of jews was historically nothing new. Travel around Europe and you'll find that most of the older cities have Jewish quarters or ghettos. Those were as often neighborhoods created from common interests, as they were the only places jews were allowed to live.
With hindsight it seems obvious, but Hitler's words were nothing new or especially damning. Especially since he called for the vanquishing of jews to Mauritania, and not for their outright death.
Genocides were themselves hardly new, you don't need to look further than the Armenian Genocide during WWI. Even so, that genocide wasn't as ordered and calculated as what Nazi Germany did and it wasn't as well documented.
Concentration camps weren't new either - the British had used them in Boer Wars, the Americans during the Spanish-American War as well, etc.
What set the Germans apart and shocked the world, was that they had created a system in which killing Jews and all other "undesirables" was organized like a factory. People were sent to work or concentration camps to work, when they were too weak or sick to keep working, they were sent to extermination camps for extermination. Meticulous records were kept. Tens of thousands worked to keep the system running: guards, doctors who qualified people for work, etc.
For all the hatred and vitriol, nothing like this had ever been carried out. The Allies were expecting POW camps and concentration camps, but not the extermination camps they found. That's what was shocking. Locking people up, starving them and working them to death wasn't surprising. Trying to wipe out a whole ethnicity through extermination camps was.