Under no circumstance should a device such as this be painful to wear. If you wear a back brace and it is pressing into your skin painfully, it is too tight and you either need to loosen it or buy a different model. While these devices are designed to help train your body, they should not do so with pain involved.
When it comes down to it, the only way a posture brace is going to cause severe discomfort is if it is too small on you. If the materials are that abrasive, however, you should stay away from that specific option.