why do you suppose that he and the audience are not sickened by the horror of what they see?

The audience has been conditioned since birth to see such propaganda as entertaining. They are instilled with such hate and programmed to accept reality within a very narrow context. I don't think Winston is unaffected by the brutality of the Jewess and her child being blown up. He relates what he sees and is perplexed by it though he's not completely sure why.