Does Macbeth's reaction to Duncan's murder convince the thanes that Macbeth is as shocked as they are?

Yes and no. Some of the thanes seem persuaded, but others are not. The text makes it clear who is and who is not persuaded.

When Macduff comes upon the horrifically gruesome scene, he passionately cries out in utter shock and disbelief:

O horror, horror, horror! Tongue nor heart
Cannot conceive nor name thee!

Confusion now hath made his masterpiece!
Most sacrilegious murder hath broke ope
The Lord's anointed temple, and stole thence
The life o' the building!

At this point, Macbeth obviously feigns ignorance and innocently enquires:

What is 't you say? the life?

It is obvious from the text that out of all the thanes, Macduff is the one most affected by his liege's death for he speaks with genuine passion when he speaks about his terrifying discovery and later imparts the same to Lady Macbeth. At this pont, Macbeth and Lennox have headed to the king's chamber.

When the two return, Macbeth confesses that he had, in a moment of blind and passionate fury, killed Duncan's two guards who were steeped in the blood of their slain king and were still in possession of their murder weapons. 

It is Macduff who clearly shows his skepticism and suspicion of Macbeth when he asks:

Wherefore did you so?

Macbeth, in an overly accentuated and florid response, using the grandest of metaphors, replies:

Who can be wise, amazed, temperate and furious,
loyal and neutral, in a moment? No man:
The expedition my violent love
Outrun the pauser, reason. Here lay Duncan,
His silver skin laced with his golden blood;
And his gash'd stabs look'd like a breach in nature
For ruin's wasteful entrance: there, the murderers,
Steep'd in the colours of their trade, their daggers
Unmannerly breech'd with gore: who could refrain,
That had a heart to love, and in that heart
Courage to make 's love known?

Lady Macbeth, seeing the danger in Macduff's attitude, seemingly has a faint, distracting attention from her husband. This works, since Macduff immediately turns to her and asks that she be attended to. When Macbeth then states that: 

... I stand; and thence
Against the undivulged pretence I fight
of treasonous malice.

Macduff concurs: 'And so do I.' This strong affirmation by Macduff is essentially a direct challenge to Macbeth, who is probably well aware at this point, of Macduff's suspicion. When Macbeth suggests that the thanes all

briefly put on manly readiness,
And meet i' the hall together.

they all agree and leave for the main hall to discuss further plans. At this point, Macduff is still playing along and being dutiful.

Later in the play, Macduff does not attend Macbeth's coronation. His submission later that their 'old robes' might 'sit better than the new' suggests that he prefers Duncan's rule to Macbeth's, further emphasising his cynicism.