DarkFather said:
It's not a question of if he would feel it. I think he would. Given the technology, I think any damage sustained on even a mechanical section of his body would register to his brain as if it were his actual organic body. The real question is if he should acknowledge that pain in a cry of exclamation. I don't think he needs to. Like Vaderios said, it's not his character.

He didn't really experience any physical damage in ANH so this film was the first time we saw it.

Therefore it clearly is part of his character to express pain if he feels it and react with rage at the person who has inflicted it upon him (you could argue that that shouldn't be the case but seeing as this film set the precedent for that aspect of Vader it should be taken as the default setting).

He was certainly not shy about shouting in anger in ANH something which was toned down in the other movies.

Vader is a bully, he's used to kicking people around and can still be taken aback when someone manages to get a jab in through that hard shell of his.

If anything it actually makes the character more interesting because it proves that there is still a human in there somewhere hidden in all that technology.