Phil has no concept of shame or at least same as we know it, he has't got the presence of mind or a real self image that he has brought embarrassment or dishonour to so he doesn't feel it the same way we do.
He's also not capable of another fundamental aspect of shame, introspection Phil at his core doesn't like the realities of his life that's why he engages in lie's and wish fulfillment fantasies so often in a primitive way of avoiding the crushing realities that define his day to day existence. Deep down he's aware he's not right but he's not right in a way he tries to avoid acknowledging because that would shake his reality to the core all he has is the image he's defined for himself and he use that as a framework to understand the world and his place in it exercising about the only method of control he has in the form of his fantasies.