No, and you should talk to the nurse practitioner if it does. The insertion of the infusion set (which delivers the insulin) is quick and often painless. Any discomfort that occurs while you are wearing the pump may be from placing the infusion set in a skin fold or beneath the waistband of your clothes. You learn by trial and error: if it hurts there, try to avoid that site next time.
Most people prefer pump therapy because you no longer have to take insulin injections (long acting or short acting), so it’s much more comfortable than injecting insulin 3-5 times a day. It also reduces the formation of scar tissue beneath the skin from taking so many shots every day.