Why Is this happening?My 4 yr old must feel so embarrased!?

That is definitely psychological. Take her to a family therapist. It may help. It also sounds like it started when she would wet the bed. Maybe something (again psychological) clicked in her brain, making it seem okay whenever she has the urge to go because she did it in her sleep. Even if she doesn't remember doing it in her sleep, it will still remain. So, like I said, a therapist may help.