Feeling embarrassed yet didn't understood of why feeling embarrassed, may or may not know is ought to be embarrassed -- alexithymia or some emotional modulation issue.
Knows one is ought to be embarrassed but it isn't afraid or willing enough to subject to embarrassment -- resilience? Thick faced?
Does not know one is ought to be embarrassed and it isn't -- cluelessness.
Knows one is ought to be embarrassed but one knows it won't and actually didn't felt embarrassed, and may even end up the opposite -- apathy or shameless.
One may or may not know to be ought to be embarrassed and likely doesn't want to, but ends up embarrassed anyway -- sensitivity, shyness, vigilance or negative thoughts and worries that anxiety would likely brought.