1 I am surprised that he did it yesterday.
2 I am surprised that he should do it yesterday.
3 I am surprised that he should have done it yesterday.
I understand 1 but what do 2 and 3 mean?
Ticce I understand 1 but what do 2 and 3 mean? Basically, they mean the same as #1. This use of should is emotional.
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TicceI understand 1 but what do 2 and 3 mean?
Basically, they mean the same as #1. This use of should is emotional. It emphasises the surprise.
CB
TicceI understand 1 but what do 2 and 3 mean?
They all mean the same thing. If you want some terminology, it's called "evaluative should".
The main verb or expression tells us the subject's reaction to the situation described after "that".
There are an enormous number of choices for the expression that can go in the main clause.
TicceI understand 1 but what do 2 and 3 mean?
#2 is primarily British English. Americans would not understand - we do not use "should" this way.
See entries #9 and 10
https://www.macmillandictionary.com/dictionary/american/should
#3