I experienced pain or burning in my injury during treatment

Yes, it can be. While our bodies react to the effects of the treatment, the targeted area may feel tingly, warm, light, or even, in rare circumstances, painful for a short while. These sensations are the result of the movement of blood and bodily fluids, and are a sign that the treatment is working. The body is reacting; things are changing.
In a previous question, we used an analogy of traffic on a highway. Here, we’ll refer to it again: as the traffic congestion (i.e. inflammation/pain) starts to ease and budge, the traffic (i.e. blood/bodily fluids) begins to move. It’s slow at first (i.e. tingling or pain), but eventually gets moving smoothly down the highway as it should (i.e. return to normal functioning and/or pain relief).