I definitely have a bigger reaction to the teflon cannula on my thighs.
RE: painful insertion, that's an interesting perspective. I sometimes find pain when I begin the insertion (mine are manual), if I pull back and just move about a half-inch, it's pain-free.
I worry about it, particularly because its so difficult to tell an infusion set failure, from scar tissue, from human error, from 'noisy' data. I have to think that pumps and sensors contribute to more tissue damage. I still wear a sensor, but not all the time, due to concerns. Its just inherent nature of the beast.
While I remain concerned about scar tissue in the long term and how that will impact my ability to continue pumping and monitoring what's going on, I don't think an infusion set is any more likely to cause damage than shots if rotated properly.