Another way of looking at the "what is hurt" question can be that we feel hurt when our internal motives, needs and desires are not aligned with our experiences and what they provide. In this sense, it is definitely not always protective as we can focus on unfulfilled desires and hurt over them even if satisfying them would not serve us well at all. It can also be excessive. The example that comes to my mind first is what my biggest mental health issue was: addiction. There is a compulsive pleasure-seeking element that focuses on the moment and on "fulfilling" impulses, but the repetitive pattern it creates causes serious damage and hurt on a daily basis, in many ways. Still, the adverse effects do not inhibit the obsession and compulsion.

Another one, from the therapy area, that we can frequently read on this forum, is when the T is not responding when we want, or in the way we want, and how that hurts many people. What is being hurt then? I would not say as big as our sense of self, more a sense of momentary satisfaction. Same in everyday relationship, when things don't happen the way we want or people don't respond the way we wish. One problem, I think, is that often we equate our desires and the arising motives and fears with our sense of self, in the long run. In this context, I think it can be helpful to strip those layers of "ego desires and defenses" - many spiritual practices aim at exactly that. It is still typically painful and hurtful because we need to go against ingrained current, learn to sit with the hurt and let go of it, and develop a form of more unbiased sense of self that is more immune to momentary emotional fluctuations. I personally don't believe that it can ever be 100% efficient due to how human nature works, but is a worthwhile effort for many people. The problem with such spiritual pursuits is that they can hardly be rewarding and successful if some very basic needs remain unmet - like in Maslow's Pyramid.