I imagine, Lorgar like the rest of his brothers, just dosent want to look at their legions, the imperium, each other, they are all testaments to weakness, failure, they no doubt see how their sons have fallen and then question how far they themselves have fallen, maybe they just dont care anymore, Lorgar probably sees the destruction of the imperium as something immutable, no point striving for its destruction when it is already guaranteed.
Good point...Though the Word Bearers stick pretty well to The Book(Aka the planet sized tomb) that Lorgar wrote/is writing. I am not so sure he would be ashamed, mabe angry. But that's what a leader is for, come back for a bit and lay down the law!
Though I see the others legion Primarch's shame for sure. Most Primarchs even the really twisted ones. Had some pride in the notion of honor, philosophy and art. (maybe exclude Angron there.) Most of the Chaos Legions no longer appreciate such things. So I can see how they would feel even as servants of the Dark Gods that their Legions have fallen too low and petty to be worthy of their Lords attention and guidence.