Given how short a time frame the game is estimated to be in, then chances are the wol has enough time to begin processing some of the various things, but then things go downhill again, the wol is likely at the point where their reaction after exposure to such matters is much less impactful than each source would normally be. Especially once they realised that they can just punch the problem out once conditions are good.

In other words: they aren't breaking because they are getting used to shit going south so much.

Something that comes to mind, the initial dark knight questline deals specifically with lots of built up frustration. Chances are, some of the events that went off didn't harm the wol as much as they could have because they weren't exactly close to the people involved at the time. eg the attack on the waking sands. At this point all that's happened since the wol joined is getting thrown into battle vs ifrit since they couldn't be tempered, then ordered about while the other scions do sweet f all.

Remember the wol by the time they meet the scions has already had to deal with lots of death, usually at their own hand. They may have also already seen one major kidnapping plot if they started at limsa