That's odd that they wouldn't even give you the sauce on the side. I mean, it's not like asking them to omit an ingredient that was mixed in beforehand and can't be removed.

I often have to ask for substitutions, but if a restaurant can't (or won't) do it, I never press the issue. Nice restaurants work hard to develop their menu and I'm sure it's quite frustrating to have people altering the dishes all the time, asking for key ingredients to be removed and so forth. Once I was in a good restaurant and heard a young woman order a pasta dish baked in cream sauce, but she wanted it with no dairy! If they had accomodated her request the dish would have been inedible. The waiter went and asked the chef, who said no, but the woman would not let it go. She kept at him and at him, while he kept explaining why it was impossible to make the dish without dairy. Frankly I couldn't believe how polite he was. So I can understand why some restaurants, in response to ridiculous requests like that one, develop a bit of an attitude about substitutions in general.

On the other hand, I never allow myself to be embarrassed about a special request. If they say no, okay, I'll order something else. But there's nothing wrong with asking. If the staff tries to make you feel embarrassed, that in itself is a reason never to go back.