Stop talking immediately after you have told the soldier what you know about the message. Let the information sink in. After you have waited, the soldier may break down or sit quietly for a moment. Next express your sympathy. Finally, tell your soldier how you have planned to help him respond to the message.
All soldiers have families.
You will not find a better occasion to be a caring leader, neither do you have a second chance with a Red Cross message, so think before you go, and get it right. Every Red Cross message is unique and every soldier is unique. Do not expect all soldiers to react to bad news in a way you think is appropriate. The path of grief is very individual. Most will react in shock or disbelief at first.