It is a pity that we should have missed the show.

参考译文：你居然错过了这次演出/表演，真是太可惜了。

主语+should have done sth 意思为“主语 居然/竟然做了某事

(1)should have done 表示竟然做了某事，体现说话者一种惊奇、惊讶、不相信的语气：

The painting considered to have been copied should have won the prize.

 那副被认为是复制品的画竟然获得了大奖。

(2)should have done 还可以表示“本来应该做某事而实际上没有做”

You should have finished your homework earlier, but you didn't

你本应该更早些完成你的作业，但是你没有

“should + 不定式完成式（完成体）”，还可以用来“对过去发生的情况表示惊讶、不理解、不可思议”，翻译时通常含有“竟然”的意味。

你的句子就属于这一类！例如：

I am surprised that you should have acted so indiscreetly. 你竟然表现得如此轻率，我感到惊讶。

It is amazing that she should have said nothing about the murder. 令人惊奇的是，她竟然对这桩凶杀案不置一词。

I'm sorry you should have gone to so much trouble. 很抱歉，让你费了这么大事。

I wonder why he should have been so angry. 我想不通，他怎么会这样生气。

It is a pity that he should have failed in the exam. 他考试竟然没有及格，真是可惜。

I can’t think why he should have said that it was my fault. 我真不明白，他怎么竟然说这是我的过错。

It’s strange that he should have left without telling us. 奇怪，他竟没有和我们说一声就走了。

【说明】“should + 不定式完成式（完成体）”，可以表达多种意义。

其中，当句中含有表示“惊讶、后悔、惋惜、不可思议”等词语时（如：surprising, surprised, amazing, amazed, astonishing, astonished, strange, pity, sorry, unlucky, sad, wonder 等），“should + 完成体”，一般用来“对过去已发生的情况表示惊讶、不理解、不可思议”等。