Hello, congrats on your first ever lucid dream! That's an awesome achievement. I can't answer most of your questions as I myself have only had 2 LDs. That said, I can congratulate you on your LD.
As for pain, I don't know about LUCID dreams, but I have experienced pain on NON-lucid dreams; so I know for a fact it is possible. I've seen places that say it isn't, but here's my philosophy: don't tell me it's impossible when I've experienced it for myself, LOL
I don't know why sticking your fingers through your hand didn't work; that worked for my very first LD; I would guess maybe it has something to do with expectations? idk, but I have read around here that sometimes reality checks will go on as normal, as if you aren't dreaming--it has happened to others before. That's why I always use multiple different checks. For example, I personally use the fingers through the palm trick, AND plugging my nose. I choose a third to do too--if there's something around to read, I try and make the text change. In my mind, it can't hurt to do backup RC's 
Once again, Congrats 
~SilverWolf~
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