Bret never won a title, so he doesn't really get to decide when and where and to who he "loses" the title. The company gave him the belt and they reserve the right to take it back and give it to whoever the hell they want. Can you imagine if the actor playing Ramsay Bolton told the producers of GoT "ok I know the story calls for me to be defeated here, but Kit Harrington has been a prick to me so no way in hell am I gonna lose a battle to Jon Snow".
Ummm, you left out a very important detail
Imagine the producers and director of GoT gave Ramsay Bolton the okay power to veto anything he didn't like and he didn't have to do anything he didn't want to? The fans would be more like "Why the FUCK did the producers and directors give Bolton that kind of power? That's their fault for giving him that power" but lets just leave that little part out.
Look, there are opinions, we all face them. Should he have lost to Shawn on the way out? Not knowing anything, of course he should have. Knowing their backstory and the fact that Shawn has vacated more belts than anyone in the history of pro wrestling and said it to Bret's face that he would never do the job to Bret? Knowing that, of course not.
Opinions out of the way, let's look at facts and at least acknowledge which are opinions and which are facts.. Unlike other wrestlers, Vince gave Bret reasonable creative control, the same thing WCW gave to Hall, Nash, Hogan and a select few meaning if they didn't want to do something, they didn't have to. That's a FACT. Bret is still the only wrestler in WWE history that has the reasonable creative control clause actually written into his contract.
We can go around in circles for days the FACT is Bret wasn't obligated to, HAVE to lose to Shawn Michaels.
Fact. Bret was willing to lose to Shawn as JR mentioned during the Greatest Rivalries DVD right in front of both Shawn and Bret. What Bret wanted was for Shawn to show Bret he was willing to do the same. If Shawn lost clean to Bret, Bret was willing to return the favor to Shawn,
EVEN AT MONTREAL. Jim Ross stated this much, being in all the prior meetings as head of talent relations. He did not sit in the last meeting where the screwjob was laid out but he was at all the other big meetings. Shawn would not do business with Bret (which he had absolutely no right to) so Bret decided not to do business with Shawn...
which he had every logical reason not to as well as the legal right.
Much like Ric Flair showing up in the WWF with the NWA/WCW title. Some didn't care for it, most of the guys who stayed at WCW certainly hated Ric for it and did not believe Ric should've done what he did. That's fine, those are opinions. The fact is, though,
Flair paid for the belt (in essence) and since WCW never paid him his deposit, the belt was still his and he had every right to walk around with that belt until he was repaid.