I can’t remember being embarrassed in a dream. I usually just feel uncomfortable. The only dream that I can remember at the moment is when I was sitting in a sauna with 2 other persons. We where all naked and when I looked down, my ***** was really small. I tried sitting so the others couldn’t see. But beeing naked in a dream isn’t embarrassing for me, I have lots of dreams where I just have underware on. IRL i get embarrassed very easily. Maybe my subconsious thinks that I have enough embarrassment IRL 
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this reminds me of a dream irecently had though not embarassing i was doing sometihng for school (loke charity work)and then when we were done and all sweaty and tired i started having sex with everyone (and for some reason all the other guys were gone no that i minded lol)well i gained lucidity in parts and i sure wasnt pulling my self away but i guess it could be embarrising in rl if being nude wasnt “socially acceptable”