Being a gambler would be a shameful thing if you were in a place where gambling is illegal or not good and you share your gambler status to others and make people know that you're a gambler. And indeed it is normal that you be embarrassed if others knew you were a gambler places where gambling is illegal. Unless you're a person who has no shame, there would be no matter what happens.
I agree that if you are tp visit a country or a place where gambling is considered illegal, you will be look down upon by the citizen in there once they new that you are a gambler. But being embarassed is relative. As long as you do not do anything nor practice your being a gambler in that place, you don't have to feel any shame because you are not breaking the law while in that place.