There problem for many big clubs in European competitions is that there are only so many teams that can get to a final (two teams), or semi-final (four teams), or quarter-final (eight teams) therefore some will ultimately fail to progress. This is the European competition all the clubs want to participate in and try to win. Even Guardiola with all the money backed by the UAE state has not won the Champions League.
When you have two big clubs, financially powerful and dominant in their leagues such as when Real Madrid played PSG in round 2 of the competition - one of them has to get knocked out - Real beat PSG over two legs. Barcelona were eliminated at the group stage and Manchester United was knocked out by a much smaller club in Atletico, things like that have to happen but it is a shock to see giants fall early in the competition.
I do not see Ronaldo playing for Manchester United next season unless they finish 4th in the Premier League because he will want Champions League football, that is simple, anything less than that would be (as you said) embarrassing. Messi will be there at PSG for another season at least and he is almost guaranteed Champions League next season with PSG,
Here are the next set of games taking place in the Champions League - they are the quarter-final fixtures:
Seeing big teams like Manchester United and PSG exit from the champions league is something very embarrassing,because the two world bests are in those teams,Christiano Ronaldo and Lionel Messi are the two figures that found themselves in those teams,and Ronaldo playing Europa league is something I see as embarassing to his personality,and the Europa spot is not yet guaranteed,because their is a fierce war in England between Arsenal,Tottenham,And Manchester United for the European spot.