John is surprised by that -- he'd expected it to hurt, honestly. If anything, John imagined there might be a safety in place if things went over a certain threshold (or, if the system was clever enough, if it knew you'd been shot) but just turning off pain entirely is... a little weird. With how disconcertingly realistic everything else is, a lack of pain response is...

It's just unsettling for some reason John can't exactly express.

"I think you just want to pinch me," he counters, because he suspects Rodney is telling the truth (or, more precisely, knows Rodney is not this good of a liar and loves to complain if things hurt) but there's no reason not to press him on it anyway.