In answer to your question, yes I have come across people who were ashamed to have voted Labour. Particularly when Blair took us to war in Iraq. However, these former or disenchanted Labour voters had come to their conclusion out of principle, not any personal advantage.
Sorry you seem to doubt my experience in coming to my conclusions Kevin, but let me explain a little further in the hope that it sheds some further light on it for you. Some of my experience was based on canvassing on the doorstep - occasionally on the phone - and more particularly in follow up on previous canvas results, usually at the next local election, although not exclusively so. Most of it was in conversations I had with people, usually in the world of work. I always carried my politics as a badge of honour, in whichever job I did or company I worked for. And when you are that open and honest on politics, then people do open up to you in conversation, even if they didn't agree with me. I stopped, figuratively speaking, 'battering' people I didn't agree with on politics or political issues by the the end of my teens, and so could have sensible conversations with them.
The people I spoke to who had voted Tory, invariably followed up that statement with something like like 'after always voting Labour all my life', and some - not all - went further by stating that they were ashamed to admit the fact that they had voted Tory.
And you ask why would they vote for something that made them feel selfish or greedy? You'd have to ask them that. Although I'll try to make a stab at an answer here, based on those conversations described above, as to why they did. Sometimes they felt that way because they supported a Tory policy from which they would gain economic advantage, for example, council house sales or privatisation shares, which they saw would be to detriment of other sections of the community. Possibly the biggest reason is that for many people across the UK the Tory Party is the Party of Greed and Selfishness, and if you think that, or had thought that, then perhaps you'd feel ashamed to have voted for them.