Aaaaw, Smile, what a great update.
So pleased for you, you must feel immensely relieved.
Maybe, when you are ready to set aside a few minutes to consider it - but then put it to bed by doing another activity, so you don't start overthinking again - have a little ponder about how much stress & anxiety you put yourself through, worrying that you might be subject to a totally disproportionate reaction from your manager. This is not AT ALL in the spirit of making a negative comment to you - it's because I hope that, with practice, just as you have now experienced in your chat with your manager, it will get easier for you to start assuming more kindly motivations from people who effect your life.
Several CS-experienced PP assured you that telling the truth & explaining your (irrational but completely understandable) embarrassment about the Mentorship would be received kindly. Look how right there were! Most people will deal reasonably with other people's mistakes. Most managers will be pleased (maybe even proud) that their staff are taking advantage of the Mentorship opportunities that are on offer.
Does this experience, & the relief you now feel, & the absolute pleasure in being given a fair hearing, boost your confidence a little OP? I really hope so - because the more you go about ensuring that you deal with mistakes, shy-making situations, & other difficulties with this open attitude of honesty, & assuming that most people will make an effort to understand your feelings & deal with you reasonably, the better you are going to get at navigating this stuff.
We all go through it, but I suspect your family background or early life experiences have contributed to a tendency to overthink, assume the worst, imagine you will be blamed ... even punished ... & that crippling level of people-pleasing is not something you should have to endure now you are a fully autonomous adult. You absolutely don't need to confirm this or even respond to me at all - you don't owe PP anything here - but it does sadden me that whatever happened to you has resulted in you feeling so hesitant & actually scared, in situations where - for most people - a bit of brazen ownership would stand you in much better stead.
Again - this is NOT a criticism of you in any way, I hope you can see that it is well-meant empathy. In that spirit, I think you might enjoy this book & find it helpful -
www.amazon.co.uk/Woman-Your-Own-Right-Assertiveness/dp/0704334208
You have done so well to navigate this situation. Please don't abandon your Mentorship programme - I can't see there is ANYTHING to be shy of about it!-quite the converse - your employers will look well on you for following it through.
And maybe - depending on how close to the nail my gut feeling about your early life experiences is - invest in some counselling for yourself. Explore where your tendency to expect people to be angry with you comes from, & learn some techniques to help you turn that around & start enjoying more positive & confident interactions with people.
Oooops didn't mean to give you a long lecture 
But MN is about taking advantage of collective experience, & I'll warrant I'm at least twice your age OP, so please take my wafflings in the kindly spirit they are meant. 