Good point. Maybe Nagato feels them? :shrug:
They didn't shout in pain,..
They actually don't really scream much when hit.
I mean, Pain was hammered like a nail, yet he was so casual about the whole situation.
When naruto hit the rasengan on him
It could be purely pathological. For example when someone is about to hit you in the face you flinch (assuming they don't actually hit you). Well imagine the bodies of Pain. Nagato controls their movements as well as sees from their prospectives. So seeing that you are about to die in a body that is almost yours could eadily produce Nagato to yell out as is he was about to be hurt/in pain. It is after Deva Path is defeated you notice him breathing heavily as though he may have felt the psychological feeling of taking a Rasengan (kind of like how you csn see an injury and imagining it happening to you)!