Pain receptors are there to warn you of damage being done to your body, but if Superman is invulnerable and therefore takes no damage, why does he appear to feel pain when struck?
I'm very probably over-thinking it, but is it ever touched on in canon anywhere?
Immunity to almost all forms of harm and ailments, including extreme force and extremely high temperatures.
It was said: "Nothing less than a bursting shell could penetrate his skin." This implied early versions of Superman were incredibly tough, but could be harmed, if you had sufficient firepower or technology on your side.
Today, that is still relatively true, depending on which version of the character you are presenting. Superman has had varying degrees of invulnerability, such that in some iterations, Superman Prime, for instance, he cannot be harmed by anything known. He resides in the center of the sun as the source of his power and almost nothing can harm him, not even Kryptonite.
Most quality depictions treat him like any other organic being. He has senses which can feel pain, information indicating he is potentially being harmed and he should seek to avoid that pain. Pain is normal, and under a red sun, Superman would need such information to help him stay alive, so his pain receptors have perfectly reasonable reasons for existing. If a being can breach his superhuman defenses, then pain is still the message he needs to receive if he is to have any chance of surviving.
Under a yellow sun, he simply has a higher threshold for taking damage, so it takes more to make him feel pain. His powers blunt most injuries to the point that gunfire just tickles and larger weapons are required to get his attention. Beings whose strength is near equal to his own, have sufficient capability to overload his ability to be perfectly invulnerable and thus he feels pain as the force of their attack affects his living flesh.
Armor-piercing weapons, which concentrate their energy on a single point, high-energy lasers, particularly if they have signature "red sun radiation frequencies" embedded, can cause lasting harm as it reduces his cellular resistance to damage.
Electricity can also harm him as it seems to at least be able to partially bypass his invulnerable aura. Magic also disrupts his personal force field and can cause some degree of injury to him as well. Mix the two and you have a fine recipe for dealing pain to the Man of Steel.
The premise of the question is flawed assuming that damage must occur in order to feel pain. Our nervous network allows us to sense pain as a warning, true, but that does not mean that it is exclusively triggered by damage. A common examples is how spicy foods trick our senses into believing we are being burned (as if by heat) when actually no damage is being done.
A Kryptonian's nervous network arises from a planet without invulnerability so it would still be calibrated to sensation on those levels, irrespective of any invulnerability. He would still feel pressure to the same degree, heat, and the like. However, after developing a lifetime of experience his personal pain tolerance would adapt to his invulnerability. So electrical shock, something that he ultimately knows won't harm him, simply "tickles".
You can see this scaling of psychological tolerance in the taste for spicy foods or athletic pain tolerance. The one acclimated to spicy food can eat something four alarm with nary a bead of sweat, while objectively no-less sensitive to the spice... while someone unaccustomed finds themselves tearing, gagging, and reaching for relief. Likewise, an athlete may enjoy feeling the burn while the couch potato whines and groans just getting up.
In all these cases, there is no actual physical or permanent harm and the objective sensation is the same, but the subjective experience is different. This is how Superman can feel a kiss brush across his lips but also laugh at a lightning bolt.
The answer is simple. Superman feels pain because his pain receptors is warning him of the damage he had taken. His body is telling him to avoid the stimuli that is triggering the pain to stop further damage. Superman has time and time again shown to bleed, sweat, and feel pain. Fans like to distant the character from morality because they feel it demeans the character. This psychological preservation of an ideal is what is stopping good stories being written for the character.
