I've also seemed to have felt pain in my dreams. And it's only on the teeth dreams, where my teeth is bleeding or doing something to cause it pain, and I feel it in my dreams. XP It hurts a lot. But when I wake up, I'll either feel a dull sensation where my teeth is, or no pain at all.
The other dreams I've had where technically I was supposed to feel physical pain, like when I fell from this tower like thing and fell flat on my cheek, and I was bleeding from my mouth, I didn't feel a thing.

So I'm not sure how or why the brain seems to trigger pain-like sensations in certain dreams, and not others.
I have also had instances where I am dreaming of something so hectic and chaotic, with a lot of noise and just doesn't make any sense, and it will make me so nausous, that I feel sick when I wake up, and have to throw up. XP Not really the same thing as feeling pain, but all of this does seem to imply, at least to me, that dreams seem to either connect to us on a deeper level and/or are more significant to us than some people might give them credit for.
Anyways, I think there's probably a reason why you're having these dreams, and perhaps the pain is a way to make it more abundantly clear that it's something you need to find out and solve. It's almost like it's crying out for attention, or something. I hope you find out what it is. I wish I was really good in dream interpretation, but I always find myself either lost and clueless, or searching the dream dictionaries.

Which aren't always reliable, since we're all different and can interpret things many different ways.