I have observed mine for a while now. My older golden has gotten more nervous has he gets older but still not bad. This is what I notice.....If we are inside and they hear it, they bark, I say it's ok and they lay back down. If they are outside and hear them they ignore them and keep doing whatever they are doing. When it comes to guns, they tend to alert me. When Robyn and Midnite did the temperament test they didn't even acknowledge the gun shot. There was a murder in the building I used to live in and Misty my oldest went nuts and kept running to the door, we didn't know it was a gun shot at the time.
They seem to know the difference in different circumstances.
Misty- Samoyed Mix, Tannor- Golden Retriever CGC
Robyn- GSD CGC, TC, Midnite-GSD CGC,TC, Brennan-Golden Retriever CGC, Batman-Husky/Greyhound , Apollo-GSD