There are a few possibilities:
You are wearing the strap incorrectly. Make sure you are following the directions that came with the device.
You are not wearing it consistently or when needed. The strap may feel annoying at first when you run, but getting over a little irritation is preferable to running in constant pain.
There may be a more serious issue occurring. If you have adjusted the fit and placement and are wearing the strap when needed but are still in pain, it’s time to see a doctor or specialist.