Autistic people have in part answered that question. Some of them feel actual pain at unwanted touches or undesirable textures.

Pain, like vision, resides in the brain; like vision it is mostly determined by reports from our (non-brain) nervous system, but pain, light flashes, even objects and people can be created whole-cloth by the brain itself. And "real" inputs can be ignored, like a mild pain you're desensitized to, or the gorilla walking amongst the ball-passers in that video.