I think you have to concider what you want. Do you want to dance or do you want to have fun?
Once you figured that out you should take a close look at how your school works, do they focus on techique or on the fun side of dancing? (Here where I live that differs per school)
About your shyness, I think I know what you mean. I'm a pretty shy dude myself, always the quite one in the back, you probably know what I mean.
What you have to realise is that you are "just" (don't get that wrong please^_^) a student. And students make mistakes, it's as simple as that so don't feel bad about it.
The fact that your teacher corrects you often is in my opinion a good thing, that proves he wants some quality in his school. So if you hate to be corrected stay polite and say it to him, I'd bet he will leave you alone.
Now, I can't take away your shyness but I can tell you something what happened to me, very peculiar if you ask me but it's true^_^
Usually I'm nervous just before exams and tend to "freeze", same thing with my dance exams last year, but... Once I stood on the dancefloor to take the exam I realised that it was not that bad standing there and that nothing could go wrong because I knew what to do. I actually enjoyed standing there in the spotlights. And I danced like never before, got one of the best scores in my class and was selected to enter the bronze contest and got the second place.
What I'm trying to say is that you will do fine if you know your steps.
Hope I've been of help in some way^_^