The biggest shame would be losing the standard eagle.
Every legion had an eagle standard and it was the embodiment of Roman power and might. The Roman legions and Roman citizens nearly worshipped the standard.
When Crassus marched off to fight the Parthians he lost the standards. This was a horrible humiliation for Rome. To lose so many standards to an enemy was an insult to Rome itself.
Decades later Augustus became the first emperor of Rome.
Augustus wanted a big win against the Parthians and he sent his right hand man and greatest general of the age Agrippa to deliver.
So what did Agrippa and Augustus want? To conquer Parthia? To take the capital? No
They merely wanted the legion standards back.
Agrippa did what Agrippa does and found a way to negotiate for the standards back.
When they were returned to Rome it was a party. The Romans flooded the streets and partied like Rome had won some grand victory. To them getting the standards back was a victory.
Losing a battle was never great- but losing the standards was a true defeat. As long as the eagle stood strong Rome stood strong.