We saw phaser disintegration victims in TWOK scream as they vanished. However, this is probably simply a case of the advance of special effects allowing movement during the disintegration effect (note how they were also able to move and converse during transporting). Although in TOS people just froze and disintegrated, the hapless O'Herlihy appeared to grimace just before his disintegration in Arena
. IIRC though the Gorn were using disruptors rather than phasers at that point.
Kodos also appeared to be in great pain while dying, and he was only shot on the kill setting.
The likelyhood is that a phaser on kill/disintegrate does hurt, just not for long, apart from obviously if the kill setting leaves gaping wounds in the body.