Who said you can't feel pain in dreams? As far as I know, you can feel anything in a dream that you can feel in real life, which is good news and bad news I suppose. A lot of us are just reckless enough not to worry about pain.

You don't always have perfect control in lucid dreams. My dream control isn't very good, but I prefer exploration to manipulation anyway. You can learn better control over time.

Of course you aren't going to get stuck in a lucid dream and never wake up. I know the feeling though. When I was little, my worst nightmares were always those where I knew I was dreaming but I couldn't wake up. I felt so trapped. That stopped when I really got interested in lucid dreaming, and now I wish I could stay in the dreams longer but my problem seems to be just the opposite.

I suppose dream exploration is like any other exploration. There is always risk involved. You don't just float around in a state of bliss, and things don't always go your way.