I've read all three volumes of Foote's Civil War chronicles and I got the sense that ol' Shelby thought that the wrong side had won the war. It sort of amused me that Burns, given his agenda, completely missed that and made Foote a focal point of his piece.
I don't know that he thought the wrong side won the war, but unlike some of the other historians on the Burns piece, with their clear northern bias, he showed reverence and respect for the men on both sides. I remember him saying he admired most Lincoln, Lee, and Nathan B. Forrest (not necessarily in that order!)
A truly wonderful American..we need more like him.