The saying no pain no gain is an incomplete and often misunderstood idiom, training in any form is challenging and creates a discomfort, this however is not damaging in the long term, in fact it stimulates favorable adaptation. Yet should we experience a pain in our training, or pain onset right after our training that is beyond the normal Delayed Onset Muscle Soreness otherwise known as DOMS, we should seek the advice of our coach or a physiotherapist. These pains could be described as Stabbing/Pinching/pulsing, these differ from the discomfort we experience when training hard and pushing the bodies ability to process metabolites and should be discussed with a health professional.
Let me know if you have any questions!