If Borussia Dortmund had lost that game, it would have been very embarrassing for them to have lost to Hamburg who gained promotion from relegation, another embarrassing thing for Dortmund would have been the fact that they were beaten at home. Indeed they did very well to have gotten the equaliser and also getting all three points after conceding two goals. It was indeed a classic performance from the former German champions.
Borussia Dortmund suffered to get that result though, so they were close to embarrassment.
The worst thing would perhaps have been exactly as you say the loss at home, that would have been a moral slap in the face.
They still sweated to get the lead goal, it wasn't a walk in the park for them, it leaves me thinking a lot to tell the truth, because we're talking about the team in second place in the Championship, in theory so one of the best and suffering so much was not a nice sight.