This construction, I think, is not standard French, barely acceptable in the spoken language and I personnally would avoid it if I could help it; it is, apparently enough, the result of people rushing their elocution. The part “étonne pas d’eux” does not exist in print.(supplement) This is in fact surprising as the following sentences are heard often ;

• Ça m’étonne pas de lui. _ Ça m’étonne pas d’elle.

In the Académie dictionary and in the TLFi can be found that the construction using “de” exists only with the pronominal verb (s’étonner de qqc) and as well the construction with “que”; however “de” has a different meaning and the particular meaning that has to be read in this sentence under scrutiny is not found (venant d’eux).

There is in the construction from the question a mixture of two constructions, one for the verb “étonner” (surprendre vivement) and “s’étonner que” (être vivement surpris);

If you use “ça”, then “ça” is the subject and the first verb is necessarily the one; but then, if you use “de” you go on to the second verb (pronominal); on top of that “que” can’t be used with “de”, the introduction of two complements that way being awkward.

However, what is meant expressed in the Following sentences, which are possible correct solutions ;

• Ce choix d’une région si enrichissante sur le plan culturel, en tant qu’une de leurs idées, ne m’étonne pas. (first verb)

• Qu’eux aient choisi une région si enrichissante sur le plan culturel ne m’étonne pas. (first verb)

• Les connaissant comme je les connais, je ne m’étonne pas de leur choix d’une région si enrichissante sur le plan culturel. (second verb)

• Les connaissant comme je les connais, je ne m’étonne pas qu’ils aient choisi une région si enrichissante sur le plan culturel. (second verb)

Taking he above explanation as justified, there is not much point in discussing whether a comma should be used or not.

There is a some value in the incorrect wording of the sentence questionned and that is its undeniable simplicity and a certain pungency; at least I conceive that as apparent; however, this wording should first be justifiable on the count being conform to a sytem of expression, a possibility that it seems difficult to make a reality.

No, not only a comma is not necessary, but it is even objectionable. Without the comma, the sentence is perfectly acceptable and idiomatic:

Ça ne m’étonne pas d’eux qu’ils aient choisi une région si enrichissante sur le plan culturel.

There is no reason that would justify the presence of a comma as there should be no pause after eux.

Here is a printed source using exactly that construction:

Ça ne m’étonne pas d’eux qu’ils le pensent.
Alain Gillot-Pétré, Du vent dans la tête, 2015.

and another one:

Ton Staline, ça ne m’étonne pas de lui qu’il se soit accordé avec Hitler.
Isabelle Stibbe, Bérénice 34-44, 2013