#4 He left the hounds behind
Did you guys get a chance to watch The Shield's final chapter that aired on the WWE Network? As The Shield took their final bow, there were chants of 'please don't go' from the WWE Universe. Seth Rollins would joke at that point and address the crowd- 'You think we didn't already try that?'
As he is running away from prison, we see that he runs away from a hound as well, guarding the prison yard. While we may believe that he was proud to be a part of The Shield, here is Ambrose letting us know that he is leaving that part of his persona behind. He is heading to a new phase of his life, down a creative new path at last.
Is this a shot at The Shield, his own brothers in arms? Maybe not directly, but you can see that he's not a fan of the gimmick.