I don't think the two are necessarily related. Some people who get easily embarrassed do so because they have a strong sense of dignity. Others may be people who have plenty of self-esteem but aren't the kind of people who just, plain, don't worry about what anyone else thinks; or else they may be individuals who are very uncomfortable calling attention to themselves. Some who get embarrassed easily may be people who try hard to do what is socially acceptable, what is right, and/or what is in keeping with the sense of self-respect and dignity that they do have.
It takes a certain high level of confidence for someone to be able to "just not care" what anyone else thinks (and sometimes that high a degree of confidence is not particularly the healthiest or most appropriate thing). In fact, an inappropriately high degree of confidence is said to be associated with some mental disorders. Something else that helps a person not be embarrassed is not knowing what is socially acceptable behavior and therefore not knowing enough to be embarrassed.
Of course "easily embarrassed" would need to be defined. There's a difference between the person who is easily embarrassed when he falls on his face in public, and the person who is embarrassed just because he has to walk into a room. As with everything else, there's a "what's perfectly healthy and normal scale" and people can fall anywhere on that scale. Those who are easily embarrassed are often just on the "low end of the gets embarrassed scale".