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.
I see the shame being the gambling and loss of values being the shamefull thing rather than the money specifically.
Also agree that opening up is an antidote to everything that's bad about gambling-ego.