I think the only reason the Holocaust is so shocking is that is it a relatively recent event. Ethnic cleansing might have been common in the past, but the Holocaust was unique in the past couple of hundred years of (western?) European history. Since the development of humanism and the enlightenment etc, genocide really hasn't gone down well in this part of the world, the last time the British tried it on their own soil it became a national disgrace.

So when the Holocaust came it was obviously a shock to see the old ethnic cleansing combined with modern technology. The efficient, bureaucratic approach is in a way more horrific than the old style genocides, like Joshua leading the armies of Israel to smite the Canaanites. Genocide of any kind is horrific but the Nazi approach was so cold, it makes it seem more... chilling.

Of course, in the wider scheme of things, its also true that the Holocuast was not much more than a sideshow compared to the major issues of WWII. A lot of the ethnic cleansing on the eastern front was led by the native populations there. The big issues of the time were the different reactions to the various changes taking place in society. Fascism was one response to the issue of class struggle, along with communism and international capitalism, and so the big ideologies fought it out.