it’s a bit more ambiguous in the books actually.
Stannis only seemed to half hear him. “I have no doubt that Cersei had a hand in Robert’s death. I will have justice for him. Aye, and for Ned Stark and Jon Arryn as well.”
“And for Renly?” The words were out before Davos could stop to consider them.
For a long time the king did not speak. Then, very softly, he said, “I dream of it sometimes. Of Renly’s dying. A green tent, candles, a woman screaming. And blood.” Stannis looked down at his hands. “I was still abed when he died. Your Devan will tell you. He tried to wake me. Dawn was nigh and my lords were waiting, fretting. I should have been ahorse, armored. I knew Renly would attack at break of day. Devan says I thrashed and cried out, but what does it matter? It was a dream. I was in my tent when Renly died, and when I woke my hands were clean.”
Ser Davos Seaworth could feel his phantom fingertips start to itch. Something is wrong here, the onetime smuggler thought. Yet he nodded and said, “I see.”
“Renly offered me a peach. At our parley. Mocked me, defied me, threatened me, and offered me a peach. I thought he was drawing a blade and went for mine own. Was that his purpose, to make me show fear? Or was it one of his pointless jests? When he spoke of how sweet the peach was, did his words have some hidden meaning?” The king gave a shake of his head, like a dog shaking a rabbit to snap its neck. “Only Renly could vex me so with a piece of fruit. He brought his doom on himself with his treason, but I did love him, Davos. I know that now. I swear, I will go to my grave thinking of my brother’s peach.”
although i just keep in mind that stannis isn’t a very religious guy. he stopped believing in the seven gods already, or at least he tells himself that he doesn’t believe them anymore, so for a foreign priestess of a foreign religion to say that she can birth a shadow baby to kill his brother—i don’t think he knew, explicitly, what would happen. but it’s hinted that he does carry a lot of the guilt because ultimately, his brother died for his “benefit”.