There was no shame because there was no sin. Shame came with the fall; shame came with sin and the curse.
Shame is a precious thing; it is a good thing to be capable of being ashamed. And shame particularly attaches to undress, and it is a protection. It is a warning, it is a part of conscience, a warning against lust; so we respect it. And as Christians particularly, we do not follow the abandon of the world: ‘O there’s nothing wrong in over-revealing garments. Away with shame about such things!’ Not at all: that embarrassment, that shame is a gift of God to a fallen race and it must be honoured and watched and observed.