First of all, let's go over the differences between connotations and denotations.
A word's denotation is a precise, literal definition of what the word means. This is something you can find in a dictionary.
A word's connotation is less precise and more emotional. It's the positive and/or negative associations a word naturally has with it. You can almost think of it as the natural tone of a word.
For example, the word "brilliant" has a more positive connotation that the word "aggressive".
Now, let's look at this specific problem. Out of the four words given, three of them have a more positive connotation. The one with a slightly negative connotation is "shocked".
This is because the word "shocked" is often associated with fearful situations in people's minds.