I think you know the answer.
There are some people who have not experienced a sense of the ridiculous or sense of the absurd or sense of irony:)

Indeed, there are a lot of people who wouldn't understand "sentido del ridículo" either. I just wanted to check if that wouldn't be some sophisticated expression in English being it average or a bit above average in Spanish.

I would say, to feel embarrassed

When used in a positive way, I think guileless is a good choice.

Another option to consider is clueless.