Greece was certainly not favored to win and they did an excellent job pulling it off. And a surprise? Yes. However, there's a difference between a "surprise" result and a "shocking" result (I reserve that for the likes of France-Senegal a couple of years ago).
If Greece wants to play that underdog, "we're happy to just be here and we're not going to win anything" card -- that's fine. I don't know if that's a superstition thing or what. But as far as I'm concerned, you can throw out the history books as a guide for any tournament held only once every four years. Statistics with so few data points and such large gaps in personnel consistencies are meaningless, IMO -- whether or not it was Greece's first major international tournament victory.
When teams like Romania, Turkey, Ireland, Belgium, Norway, and Poland don't even make it through the qualifiers, a team can't hide behind a Cinderella story and has to start raising expectations. If others don't raise their expectations for that team accordingly, well, then that's their problem for underestimating them (see FC Porto in the last CL).