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.
That's a good mindset, you care what you do and not on what other people are saying because we know what we are doing and we are responsible enough to face the consequences of our actions. Having fun in gambling is the same with entertaining yourself, it so happen that it's our way while for others they are more on shopping, watching a movie, or go travel. It does not differ at all as long as we enjoy what we are doing and we control the risk.