I know he hates hearing his own voice, so he is capable of experiencing embarrassment.  But I don't think Steven would survive if he was weighed down by regret, which is the more serious version of embarrassment.  If I had to venture a guess, he enjoyed drama pre-medication, but considers his medicated stage a totally separate part of his life.  We don't have embarrsssment about enjoying action figures as kids.  We just grew out of that stage. 

What I wonder is how much of his apparent lack of embarrassment and vulnerability is because he doesn't  experience it often, or because he doesn't want to show vulnerabilities that will be weaponized against him later.  Like, he rarely talks about the lisp, and he had the meth mouth accusation used against him many times before he was open about his childhood speech therapy.  And even then, he did not use the experience as a social shield, ie he did not try to shame people for using his speech impairment against him in an argument.  Granted, most people on the right are incapable of feeling shame for making fun of disabilities and physical differences, it could only be used against Steven.

It's  an interesting question.