The feelings one might experience upon hearing of the death of a close friend are clearly not the result of a "nerve transmitting pain", but most people think they're pretty unpleasant nonetheless.
If an AI can experience similar anguish, then that's ethically relevant to how we use them.
What's not entirely clear to me is how we can create useful consciousnesses without emotions in general. As humans, we are driven by our emotional states to perform different behaviors as well as think about different things.
Maybe it's possible that we can hard-code some emotional drivers into our artificial intelligences. Perhaps we could program a consciousness to be driven by the opportunity for human advancement, and allow that consciousness to take over from their in how it wishes to pursue that goal.
That's possible, but I don't see any reason to believe it's definitely true. We know essentially nothing about the nature of consciousness.
Humans can relate to humans emotionally because we are very similar to each other in a neurological way, not because we have some magic mental capability like 'sentience' or 'consciousness'.