I'd be pretty judgy too. I mean, sure, people's feelings are there, they're real, but that doesn't mean they're always appropriate.
That said, of course neither you nor I would express all that judgy feeling. But I don't think we're obligated to listen. I think it's perfectly fine to let our disinterest in her emotions show all over the place. That's one way people learn what's appropriate.
I wouldn't even want to say "I'm sorry you're sad." I'd be all "Oh, yeah? it's the anniversary? Hmm." and leave.
I'd be all absent-minded and look at my phone while she's talking (or do schoolwork, or whatever), and maybe even say, "I'm sorry, I need to focus on this."
If I got the big lecture, I'd want to say, "Well, I'm not that personally invested in the death of someone I haven't ever met. I'm sure it's sad for his family, but I never knew him." And leave.
If she ever had a conversation about something else, I'd try to perk up and suddenly be very interested in her. She switches back to the "grieving fangirl" role, and I'd drop back to apathy.