I believe the point is that the person in The Egg experiences every extreme example.

They live each life separately, though, with no memories of their other lives. Joe from Idaho isn't suffering in the moment because of the experiences of some poor sap halfway across the world, even if they're both part of a greater continuum. The character will only regain memory of all the events when they "hatch" & become a god, at which point (being divinely capable of remembering billions of lifetimes) they will presumably have the mental fortitude to deal with that trauma.

As far as we know, people don’t remember anything after they die. Does that mean it’s no big deal to torture you to death? You won’t remember it.