There's no need to be shameful if you are doing it the right way. And if you are using your own money to gamble then instead of being shameful you should be proud of it. Because you don't need to ask your parents or friends just to give you money for your own purpose which is gambling. You are right, you don't have to be affected and there's no need to be shameful of if you are just doing fine.
Gambling is not illegal for some countries and it is not wrong, if you are gambling and you are not responsible for it, you are the one that is doing something wrong in gambling. And that's the time that you should feel ashamed. I find nothing wrong in gambling, so you really don't have to be ashamed of it but I understand the point that you are telling that we shouldn't be proud of it, I guess it goes and depends to the gambler.