The 2 times I recall Luke and his hand, he shows pain. The poking by the doc-bot in Empire, and being shot in Return. In Empire, the pain is clearly there to test the reflexive response, so that's another reason to likely include pain, it will compel you to remove the limb from whatever is harming it, thus preventing further damage to the limb.
I don't remember Grievous well enough, as I stopped watching CW after a few seasons. But I recall in Revenge, he seemed VERY unhappy when Kenobi force crushes his chest unit. That might be due to the organic bits in there, but I got the impression that none of it felt good.
And Vader clearly showed pain when Luke cut off his hand. He screams out in pain, and collapses to the ground. Also in Empire when Luke gets that glancing blow on his shoulder, he grunts and grabs the limb, so he clearly felt that.
As to the idea of "cybernetics made for soldiers" reason, I can think of 2 schools of thought on that.
1. The idea you have, of soldiers that feel no pain, are more dangerous. However
2. Soldiers that feel no pain, won't be cautious and might die before completing their objective, because they were oblivious to injury, and now we've wasted money on some dead cybernetic soldiers, AND failed the objective.
I guess it depends on the person building the parts. Someone like Palpatine would probably go with Option 1, because he clearly doesn't give a crap about his minions. But other agencies, like the Republic, and basically any company/military that isn't run by a sociopathic/megalomaniac would probably opt for Option 2. Pain is not a bad thing. Pain is your friend. It warns you when you are doing dumb, dangerous things, and gives you the opportunity to potentially survive and learn, and go "Ok, that hurts, I now know not to put my hand in fire anymore. Lesson learned"