I doubt he's embarrassed. There are several reasons he's biting at his tail, though.
If you bathed him he may have shampoo residue which causes itching.
If he was tightly matted, trimming the mats away might leave the skin feeling strange and sore. Kind of like having a pebble in your shoe all day. Once you remove the pebble, your foot feels strange, and may actually hurt more for a while.
Are you certain he doesn't have fleas? That's a common cause of dogs biting at their tail and rump.
It could also be his anal glands.
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