I read some information about Jesse on a board that was passed along from another board.
Jesse might have gone on the show to promote his friend's snowboarding/skiing gear.
That might be the real reason that he didn't want to kiss DeAnna: not that he's shy... the show for him might just be a commercial.
Jesse might have gotten caught texting his girlfriend. I thought it was odd that in the preview, Jesse declined the overnight date in the fantasy suite. Maybe it's because of his girlfriend. I don't think they would mention Jesse getting caught texting his girlfriend on the show.
Also, I read that Graham wanted to leave, but the producer's convinced him to stay for the rose ceremony... and make it look as if it was DeAnna's choice not to give him a rose.