I feel embarrassment and shame on the behalf of someone (not me) performing when their performance is bad in one or more of a few possible ways, most of which have to do with what I perceive as trying and failing. I also sometimes feel embarrassment and shame when a performance is good -- when it exposes something that people don't usually expose in public, like lust or misery, or crosses a threshold of intensity.
That second kind of embarrassment and shame is mine, on my own behalf, for being present and unable to "handle it". I'm disappointed in myself for not being able to manage, to reduce, something unmanageable, something that's the more powerful the less leashed it is, something that gains power through its very public-ness or publication of something that is usually private --
-- something I usually do by myself and am not ashamed of it there. Or something I usually do by myself and am ashamed of it, because I'm not really by myself, I'm imagining the stadium and that the people in the stands are in the same position that I, watching this performer, am in: wishing they were somewhere else because this is just too much.