Shame is a source for self-harm and psychological damage. And, at the same time, the Bible seems to say sinners should experience shame. 

If we love ourselves properly, we will discipline ourselves in doing the things God says are best for us. (Lesson 3 of 12 in the Man of God Series.)

God could have said, "They'll know you're mine by how well you quote scripture or by how boldly you debate non-believers;" but he didn't.