There is nothing we should ashamed in losing a game since in gambling, we are losing. What we should ashamed in losing in gambling is that, we can't accept that we lose. That's why, play what you can afford to lose. Thus, play the amount which you think you can recover from that lost, hence you can still play the capital strategically.
I do agree the fact that you could lose a lot of money in gambling ,being ashamed is not a bad thing and most of the time you have to accept the loss. I am not ashamed for being a gambler because i am not a full time gambler.I do wage once in a while and what is there to be ashamed in it.