Bully, caught in daft error, is embarrassed (9)
I believe the answer is:
terrorise
'bully' is the definition.
(terrorise can mean to bully or antagonise)
'caught in daft error is embarrassed' is the wordplay.
'caught in' says the answer is hidden in the clue.
'TERRORISE' is hidden within 'daft error is embarrassed'.
(Other definitions for terrorise that I've seen before include "generate fear" , "Panic" , "Browbeat, bully" , "Oppress by fear" , "Frighten greatly" .)