Only some of brigade armed? I'm shocked! (4,2)
I believe the answer is:
dear me
'i'm shocked' is the definition.
(phrase said when shocked or outraged)
'only some of brigade armed?' is the wordplay.
'only some of' indicates the answer is hidden within the clue (I've seen 'only some' mean this).
'DEAR ME' is hidden in the letters of 'brigade armed'.
(Other definitions for dear me that I've seen before include "Mild expression of distress from expensive self" , "how sad" , "how distressing!" , "What a pity" , "Expression of mild regret from precious self" .)