First question that comes to mind is: why. Why was this film made? Second question is: what is its meaning. What was the important message that the writer-director wanted to convey?
Unfortunately I cannot answer neither of the two above questions. It is not entertainment. Not even the sensational kind.
The lighting is fantastic, the background music very well scored, both leading stars provide great performances. And yet, I don’t know what this film wants to tell me. I’m not buying this one.
The main character is not credible. It is unclear as to what his job is. It seems that he is a non-important clerk in a large corporation. He does nothing in the office – why so many office scenes then? He arrives late, takes long lunch breaks – as if he was Don Draper. But Don Draper, apart from those features, is a brilliant businessman. Don Draper also is a sex addict and his story has the charm and power that “Shame” does not deliver. What a shame…
Blondoner's Blog 
Kinda agree, the film itself has got such a potential… but is cold and empty. It would need more background so we could understand their behaviour much better.