In Pirkei Avos 2:6, our Sages write "...a bashful person (one who feels shame) can't learn."
"I felt embarrassed standing near those people who were using foul language" is a healthy sign of shame and modesty.
"I felt too embarrassed to ask the Rebbe what he meant" according to the Yalkud Yehudah is a sign of arrogance : I don't want others to know that I didn't know something.
Moshe told Aharon to "approach the alter" (Vayikra 9:7), because Aharon was embarrassed to approach it because of his "involvement" with the "golden calf" (and the alter reminded him of the calf). Moshe praised his for his response.