I don't know why he was so embarrassed to sleep in the same bed as her. They already held hands in public, in front of Dorami and everyone else without a single solitary shred of shame or decency. So it's not like things could possibly get more perverse than that.
Everyone: look at how brave and selfless is the hero risking his life to protect us from Monsters!
The Hero: I'm not going to let this overgrown bug ruin my trip with my girlfriend.