I saw a news item recently about blood donors, calling for more people to donate. The procedure was described as painless and a donor was shown having the needle inserted. He showed no sign of any discomfort. I’ve seen it first hand too, with other donors (male and female) who don’t react to the venipuncture at all. I always react, to me it hurts, yet the procedure is exactly the same for all of us.
This suggests there is a psychological aspect to the perception of pain. That doesn’t necessarily mean that those who fear pain feel it more (although the converse might be true). I fear needles per se, not the pain I associate with them. I don’t fear canes in the same way, even though I associate a greater level of pain with them than I do with needles. It is a very complex phenomenon.