Perhaps: "I am still surprised" or "I remain surprised."
It has the same meaning, but in Indonesian your English sentence would be more like this :
'Saya masih merasa kaget'
The current English translation is a líteral translation.
'rasa kaget saya' = my feeling of shock/surprise.
'belum hilang' = not gone yet.
'belum' is used as a negation in this sentence.
The question becomes which is a better way to say when you are learning Indonesian: "Saya masih merasa kaget" or "Rasa kaget saya belum hilang." My sense is that the former is better sturctured and less awkward to say.
Disallowing "...…...not yet gone" probably surprises most native speakers of English