The Glove of Shame is when your coach takes off one glove, holds it in one hand and tells you to hold the other end. This is supposed to demonstrate you can do some skill on your own, and don't have to have their assistance.
The glove is supposed to give the skater a psychological boost. "You did that crossover and I wasn't holding on to you, you can do it yourself! Give it a try!"
But, once you are old enough to understand the meaning of the picture below, the Glove of Shame loses its mystical power that it holds for five year olds and you'll just roll your eyes at the coach.