Ashamed 3 year-old. UP friendly suggestions?

I would love some advice with a minor problem we're dealing with. My son is almost 4 years-old and has a very strong shame response for lack of a better phrase. If he knows he's done something "wrong" he tries to run away and hide, won't look you in the eye, or start yelling to get you to stop talking at him. Anyone else have a kid like this? He's very sweet otherwise and is very sensitive to other people's moods (if I'm in even a slightly bad mood he notices right away and asks me what is wrong), but its hard to even talk to him about his behavior. I'm not sure if its related but he also does not like to be comforted when he's upset. He'd rather hide in his room until he feels better.

We practice Alfie Kohn style Unconditional Parenting and suggestions from Playful Parenting so its not as if we've created this by yelling, screaming, time-outs, or even getting in his face lecturing. We keep things light most of the time but his reaction to even the mildest criticism of his behavior is so over the top.

Anyway, I don't know if I should be making him look me in the eye when I'm talking to him or not. They do this at the gym childcare and in his gymnastics class but the way they do it bothers me a lot - very condescending and more about trying to assert authority than actually helping the kid work through feelings and deal with misbehavior.

I'm tempted to leave him alone, but sometimes he does need to know the reason something isn't a good idea, or there are safety issues that need to be explained. I also want him to (eventually) learn that its rude to run away from people, or scream, just because you don't like what they have to say.
Anyone been there?