There are different levels of sensitivity and courtesy. I stopped going to rock concerts for several years after an incident in 1972 at an outdoor concert at Randall's Island in New York. My subsequent tip for being courteous at concerts is, "when you feel the need to relieve yourself, no matter how stoned out of your gourd you are please try to get up and make your way to the nearest port-a-potty rather than just opening up your trousers and letting fly onto the back of the guy in front of you." ;-)

In comparison, I don't think you need feel bad; singing along is common and more often the rule than the exception, unless it's hard to hear the entertainer,but it varies with the type of concert and the venue (and perhaps, how badly the audience member is singing). It was courteous of you to stop singing when you were asked, and rather discourteous of the other person to gratuitously add the "I didn't pay to hear you sing" comment.