they didn't have any emotion to feel the pain in first place(except reiju) and they were on raidsuits and we see bullets touching and breaking into pieces. If they are in their normal form and bullets shot at them it still hurts. Sanji can feel pain and it's an emotion which his brothers doesn't have . You can see even when they were riddled with special bullets. None of them showed pain except reiju.
2.pudding stated that even without raid suits their bodies are durable regardless and hence the candy bullets were made to damage their bodies. She then had to use one on a non raid suit reju just to pierce her skin.
Again feeling physically pain isn't an emotion. It's a a result of pain receptors. That has zero to do with emotion. It's like you tard make up your own headcanon