I don't understand what she (Sarah Connor) meant by 'Shocker there' in that scene (relevant part starts at 02:08), what does that mean?
Guardian: My files do not deal with love.
Sarah: Shocker there.
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Sarah is being sarcastic. The word "shocker" is defined as
One who or that which shocks or startles
Given her tone of voice, we can presume that she's saying that she's not surprised that a machine designed for combat, infiltration and assassination doesn't have detailed files on human love and romance.
This is an established American English idiom. It's essentially shorthand for "This is a shocking piece of information", or "I find this to be shocking".
It's typically used in the context of sarcasm or irony to indicate that the speaker feels the exact opposite is true. In effect, the the situation or information is not shocking.
For example, in the context of the clip above
Speaker 1: Robots designed for assassination and infiltration are not routinely equipped with cultural information regarding human romance Speaker 2: Shocker there.