Shyness in gambling will always harm you in a different way because if people come to know that whether you are a gambler than it will hurt you much. Not only if you lose money through gambling it might affect your family in a different way, while gambling you have to be very careful.
If a person is addicted to gambling they why will he shy to play gambling? I think that only new comers will feel shyness while playing gambling tell they become familiar and addicted to gambling. I myself felt shy when for the first time in enter a casino but never after that.