One explanation - that actually seems a bit too obvious to me - is the uniquely strong individualism of American culture. In a more collective or family/group-based culture, feeling ashamed over somebody else embarrassing themselves is an entirely reasonable reaction. If someone belonged to your group, it would be your responsibility to look after them and make sure they don't embarrass themselves or otherwise fare badly. By embarrassing themselves, they would also be shaming you.

Of course, the characters in television shows don't belong to our family, but adaptation-executers not fitness maximizers.