We've established that pain occurs in the brain, not at the perceived site of the pain. That doesn't say that the stimulus that brings about the pain response also takes place in the brain. The stimulus may, indeed, originate at the perceived location (or at any site along the path to the brain). However, whether the signal is perceived as pain or not when it reaches the brain -- or whether a pain signal even arises -- may depend on genetics.

See:

http://www.bio-medicine.org/medicine-news/Gene-determines-pain-threshold----15309-1/

http://cat.inist.fr/?aModele=afficheN&cpsidt=15033290

http://news.bbc.co.uk/1/hi/health/2784869.stm

Here is the story of the Pakistani family with a mutation that blocks their ability to feel pain:

http://www.npr.org/templates/story/story.php?storyId=6620733