There's something comical about the premise—pompous, wussy Brit gets his comeuppance—but Hitchcock doesn't go for laughs here. Far from it—although the death happens quickly, and there is only a muted reaction from the other characters, the sudden act of violence is frightening and stunning in its flatness. It is the first time real harm is done to one of the characters, and the film's lighthearted tone is, in a single jolt, replaced by one of dread. Hitchcock's point about the arrogance of British power is clear (and particularly haunting, given that the film was made in 1938): Even though Todhunter is the film's most obtuse figure, his haughtiness is reflected in all of the English characters. The Brits' lofty self-assuredness is revealed to be a grim, willful denial of the real evils that threaten to disrupt their lives of privilege and security.
This dramatic heightening of the stakes, as well as the sudden impingement of menace into everyday life, are motifs that recur in Hitchcock's later work. We see it in the appearance of long-lost Uncle Charlie in Shadow of the Doubt; the shock of Madeleine Elster's suicide in Vertigo; and, most famously, the death of Marion Crane 45 minutes into Psycho. The intrusion of horror into what seems a secure, familiar setting is the idea behind Hitchcock's most-celebrated plot device, the MacGuffin, a narrative hook that advances the plot early in the film but in the final reckoning proves irrelevant. As in Hitchcock's other great films, we are made to realize in The Lady Vanishes that what disturbed us initially (the disappearance of governess Froy) pales in comparison with the darker dangers that lurk ahead (the false sense of security of the prosperous, the fatal arrogance of great nations). If The Lady Vanishes has a weakness, it's that Hitchcock allows the despair of the gunfight scene to dissipate relatively quickly; it's not long before wedding bells are chiming. The chill of the scene leaves its mark and lends a darker pallor to the film's triumphant conclusion, but it was not until the American years that Hitchcock allowed himself to explore more fully the depths of paranoia, obsession, and dread first hinted at in The Lady Vanishes. In the next 20 years, he ventured so deep into these dark places that, by the time he made Vertigo, there was no way out; as soon as one lady vanishes, we know another will follow.