'The pain means you're still alive' was just another in Dean Winchester's long list of bullshit sayings.
In Dean's experience pain didn't stop when you died. In fact, most times it just got worse. Hell was nothing but pain. Unending, unendurable, incomparable pain – pain that was inflicted on you and that you inflicted on others. Purgatory wasn't much better; the only difference was that no one was getting pleasure from inflicting it. Heaven - heaven's pain wasn't physical, but it didn't hurt any less.
No. In Dean's experience, the way you knew you were still alive was that the pain stopped.