I honestly think they are exactly like us, but don't have the ability to express it in the same manner as we do.
When I was younger, my family had a Shetland Sheepdog called Sharka. He got really sick and we took him to the vet and it turned out that he had somehow gotten a tick. They had to shave his beautiful long hair off!
Anyway, because his hind legs were failing, they started at the back - the tick was on his neck! So we had a Shetland Sheepdog with about 1cm of hair all over his body,but still a puffy head and a puffy tail. It made him look like a fox or something!
Anyway, he TOTALLY knew and he was embarrassed. Mum came out of hte car when she picked him up and sat us all down and told us not to laugh at him, that he did look funny, but he knows it and we would really hurt his feelings if we did. You know the story, we wouldn't like people to laugh at us, especially not our own family.
Well, he did look very funny, but we didn't laugh at him - he still walked really slowly under the table with his head down and his tail down... we all ended up practically crying because he was so sad. He literally hid under the table for about 2 or 3 weeks. He wouldn't come out from under the house, he turned from a super social dog to not even wanting to see us really....
After a while he came around to us, and when his hair got longer he started to venture out and eventually was back to normal! But, I can PROMISE you from that experience that they do know what's going on, they do have feelings and they can be hurt
Poor Maxi, maybe you can arrange so the other doggy isn't there next play time? Or is that not possible? It reminds me of kids - you know, where one friend is always there and then someone comes along who is new and exciting so they forget the old friend....