On the night before Christmas (in Chapter 15), Max had heard his grandparents arguing about a gun, and he figured it must have something to do with his father, "Killer" Kane. Grim and Gram warned Max that his father was up for parole, but Grim had gotten a court order to keep "Killer" from being within a mile of their home. So Max knew there was a possibility that his father would be released. Also, Max said that he somehow
"always knew this would happen, that he would come for me, in the night,"
and that he would awake to find "Killer" Kane standing over him. So, even though it was like a terrible nightmare, it was not a complete surprise to Max.
I think he actually was surprised. I mean, he had been thinking about him for years and BAM! he just shows up out of nowhere into his room. I mean, how would you feel if your worst fear popped up in the middle of the night next to you? He probably wasn't terrified because he had seen things almost as bad. And he's a tough guy, seriously. He used to be called "Kicker."