mikey,
Why people didn't lie to exit pollsters:
because it's a different sort of poll: done AFTER people have actually voted, and is, sort of, confidential, because you don't actually tell the pollster who you voted for, or at least that was the case on Thursday in the UK election
But I still don't accept the "shyness" nonsense for reasons already stated. There is a difference between dinner parties, extreme left wing (or for that matter right wing rabbles protesting) and a phone poll where if people misinform a pollster the chances are it just because they are just being silly.
If one is "shy" about declaring one's political allegiance that all depends on context, as you say. I would have felt rather uneasy declaring myself to be a Labour supporter in the days when I worked for a private company and I was I am ashamed to say scared to join a union until we were threatened with redundancy.
But who knows: almost by definition I think it's probably impossible to know for certain if supporters of any particular party go all coy when Mr Mori or whoever calls :-)