Based on Gojo's established character traits I don't think it makes any sense for him to NOT be torn up about what happened to Tsumiki. However it kind of doesn't come up so it's all guesswork
he should be so haunted by what happened to tsumiki ill die on this hill. gojo and tsumiki that live in my head I love you im sorry gege wasn't ready for you.
on a more serious note, I guess, this is kind of what I mean when I say that some jjk characters exist in this weird vacuum. like, nanami and geto are big sad about Haibara and the other two are just kind of also there. it doesn't matter that they lost their friend and kouhai. he's here to be The Big Sad and how his death affects dynamics outside of that literally doesn't matter.
Tsumiki is kind of like that. she's megumis big sad and gojo is At The Very Least his benefactor and has known this boy for a very long time and literally one of the first things Megumi tells him is that what he choses to do with his life depends entirely on which option would be better for tsumiki. and yet gojo and tsumiki are just--nothing? like what? gojo and tsumiki could have been so fucking fun. here's this man who's all set on making the world a better place for the younger generation of sorcerers. and he sets out to find this young boy and save him from being thrown to the wolves. he's ready for that. he's not ready for his very human very normal very non sorcerer sister.
like idk you can do so much with that. they could have been so fun. she could have thrown him for a loop a bit because he just wasn't prepared for and doesn't exactly know what to do with her. they could have been so fun. strongest sorcerer in the world would suddenly kill and die for this random girl who's not special in any sort of way.
it's like, idk, there are these characters that exist for one specific dynamic and purpose and nothing outside of that, but that's just not how people work. Megumi makes it clear that he and tsumiki are essentially a package deal and im supposed to just never wonder what kind of relationship her and gojo had?