I agree that your child probably appeared astonished because she was starting to exhibit object permanence:
The ability to create and hold a mental schema of an object is one of the milestones in cognitive development. Developmental scientists have named the behavioral manifestation of this competence object permanence.
The great child psychologist Piaget maintained that object permanence develops around 8 months of age, but he named that process of cognitive development the sensorimotor stage:
Piaget hid a toy under a blanket, while the child was watching, and observed whether or not the child searched for the hidden toy. Searching for the hidden toy was evidence of object permanence. Piaget assumed that the child could only search for a hidden toy if s/he had a mental representation of it.
Once we develop object permanence, we never lose it. That is precisely why magic works: it goes against what we've learned as a fact through experience. Babies are as astonished as we are as adults; it's just a lot easier to trick them.
Frontal Lobe Activation during Object Permanence: Data from Near-Infrared Spectroscopy
Object permanence in five-month-old infants