It depends on what is your definition of ‘pain.’ If you are feeling a bearable amount of pressure on your hand when using the massager, this is normal. If the pressure is unbearable or too much, then it is something unusual.
If that is the case with you, try changing the massage mode, or if you have an adjustable hand massager, then low down the pressure. If the problem still persists, then your massager is faulty, and you should look out for a replacement.