Don Lemon is speaking out for the first time about his arrest by the feds ... telling Jimmy Kimmel he was bombarded by agents in an elevator in L.A. and was never given the chance to turn himself in ... all so they could allegedly "embarrass" him. The veteran journalist recounted his Thursday night arrest on federal civil rights charges on "Jimmy Kimmel Live!" Monday, explaining he was stepping into a hotel elevator after reporting on the Grammys when all of a sudden, he felt himself "being