Although I love Full Metal Alchemist, you must remeraber it's just an anime, and they can't put all details into it.
Realistically, of course it would hurt, but again, you can't have everything and expect the show to come out great because of the restrictions.
If Ed felt pain every time, would the creator have to worry about hurting him to often, and then after a while, it would get old. Get what I mean?
Like,
"Oh look! Bad guys!"
"*transmute* OH GOD, THE PAIN"
*replay*
Gets boring. xD