I find this notion discombobulating every time it pops up. Just because a particular nuance of an emotion doesn't have its own precise word in the local language, it doesn't mean that the locals don't experience it.

Emotions are universal. Even if some hypothetical language has a particular term for an emotion that in English would fall somewhere between "guilt" and "shame", it doesn't mean that English-speakers don't often experience it; they simply lack a term with the exact nuance, because it rarely matters that much, and we can express the idea with the help of a longer sentence.