I was a WELS member while I attended different churches, prayed with people of many different denominations, took Communion at other churches, traveled throughout the United States as a speaker for Christian conferences, schools, and church events of different denominations. While I did struggle with guilt and shame for participating in those things at first, I continued to pray and ask God for wisdom and guidance. How is it possible that I felt so shameful and guilty while simply sharing the truth of the Gospel that I learned as a member of the WELS....and as I prayed and sought God in his Word I found that I was doing what was natural to me as a Christian man...to go and tell all the world. In my experience, I find how the WELS interacts with other denominations by not interacting with other denominations bogus and not beneficial to kingdom building here on earth.
I imagine you could have been feeling shame and guilt because you recognized you were going against biblical principles. Our consciences are designed to react to our actions (Romans 2:15).
It is commendable that you want “to go and tell the world” about Jesus. At the same time, you want to do God says in his word. What God says is that Christians are not to practice church fellowship with people whose teachings are contrary to his word (Romans 16:17-18).
No one benefits and God is not glorified if people gloss over doctrinal differences and pretend there is outward unity when there is not. On the other hand, there is benefit for people and God is glorified when the truths of his word are upheld. I wish you well.