I'm not sure if that clips showing him calling the iPhone itself embarrassing.

As i interpreted it Elop was referring to that guy interviewing him that it was an embarrassment that HE had an iPhone. It's sort of a difference guys.

But yes, I do agree that Elop is the worst joke of our time when it comes to CEO's and company management.
It should be embarrassing for him to hear how people who used to love the Nokia smartphones now spit on the company and their recent products.
Elop sure deserve the sinking ship that he hijacked and corrupted so badly in a time where it was just about to set sail into the sunset with its crew living happily forever on.

Now the Nokia bed time story has come to its end, and its not a happy one.