How come you can feel usually things like warmth or even sexual pleasure in your dreams but you can't feel pain usually ?

I am not sure your assetions are correct. Dreams are quite ethereal and I think that it is difficult to recall exactly what sensations, feelings or emotions one experienced during them. I know on two occasions my dreams have cause my partner pain. I dreamt on two separate occasions that I was in a fight and I lashed out at someone and on these two occasions thumped my partner in the face while he was fast asleep. Needless to say neither event made me very popular.

I feel pain all the time in my dreams so idk what to tell you

Maybe your dreams are different than mine. 

Because, 

We are two different people. 

Ever considered that?