I woulkd estimate their pain threshold as being higher, but certain fears and grievances reside in the brain much more than the heart. The one thing that does not die when you are undead is your ego which chains you to this world. Some say that the brain would go mad without sensory information, deprived of some senses their world is surely vexed, but they surely can see, touch and hear otherwise there would be no interaction with the material world. Most of our emotions are extrapolations of sensory information. Thus anything they feel in the fields now unavailable to them would be memories.
A friend of mine had an accident and lost her sense of taste and smell. She remembers things but vaguely and every year something is fading and consequently lost forever. I think remembering that you had all this that is now lost is what fuels their wrath. This also applies to Jon.