Usually people feel shame and embarrassment when they do something wrong or unauthorized by the moral standards of the society in which they live. In families of nudists nudity is something absolutely normal and seeing the private parts of the relatives of the opposite sex does not lead to any special feelings.
On the other hand in conservative societies with strict norms revealing of the human body is intolerable. The complete absence of eroticism and nudity enhances extraordinary curiosity and the desire to look behind the moral barrier set by the Puritan society. The shame and discomfort of being exposed to the eyes of the the opposite gender in such a society is considerably greater.
The majority of people live in a society between the two extremes and similar cases do not bring any psychological damage and sometimes are loaded even with a large dose of eroticism.
It will be interesting to find out what are the feelings and sensations in representatives of different societies with different moral norms and different attitudes towards nakedness.