I have to say this is what I was thinking too!
If you were a 13 year old worrying that your friend isn't following you on social media, I could understand the angst, but you're a grown up OP.
Sorry, but you're definitely overthinking this. How old are you OP?
I don't really use insta (I have an account where I follow various celeb/influencer profiles, but don't post anything myself).
Having been working for almost 30 years, experience has taught me that work colleagues come and go and as much as they often feel like really good friends (as you spend so much time together), often when you or they leave you drift apart far quicker than you ever imagined you would.
I once heard someone say that you have two types of friends: friends for life; and friends for the moment. And there's nothing wrong with there being "moment" friends. They're there to serve a purpose to you, just as much as you are to them. You help each other through tricky times, or see each other through good times, and create memories along the way, but it doesn't mean you're destined to be in anyone's life forever.
Sometimes a work friend might fall into the "lifelong" friend category, but most will be "for the moment" friends.
So, the question as to whether you've embarrassed yourself will depend on what you've done. On the face of what you've said, you've followed him on IG, he's not followed you back. As long as you haven't gone into work crying "WHY HAVEN'T YOU FOLLOWED ME????" you're fine.
I imagine you're reading too much into him being "off" with you. Why would he be off with you just for you following him? If he was that bothered about people following him, he should lock his account down better.
I'm saying all this on the assumption that you're still young OP. As I've got older, I look back at things I did in my early 20's and cringe, but these are things we all do on the route to maturity!