He doesn't like Criticism no, but in IX he was usually able to keep his cool. Like all the time he spent with Barne. Regardless of how much he hated her, he never showed it while in the pressence of the Bermucian people.
Now, he gets wound up whenever somethings said about him. And as for him being stupid in Dissidia?
"Oh, you're just his 'friend'. Zidane would NEVER chase after you. Why, that is totally not something he would EVER do."
Again, it's either that, or he was lying cause he couldn't beat squall, so he made up an excuse. That jis just something else out of character for Kuja. Look at him in FF IX. He knew he coudln't beat Garland on his own, so he tryed to ensare the EIdalions. When those plans failed, he took in the souls of the Iifa tree and obtained Trance. He didn't make up an excuse, he came up with a way.