Hmm. Well, I am pretty sure my cat knew it was wrong to shit in my shoes. I'm pretty sure that squinty look in his eye when I found it was cat laughter, too.
I reckon other animals do understand right and wrong. It is not mere anthopomorphism that assigns to dogs shame when we see them looking sheepish after chewing our slippers, or tearing up the garbage and spreading it across the yard. It is seeing in our friends of other species what we recognize is the same feeling we ourselves have experienced, when we have been caught doing something we knew was wrong.