Not using that infusion set, but pain isn’t necessarily a bad thing. You didn’t say when it is hurting. Does it old happen when you first start a new set? Does it only hurt when you bolus, or do r basal increments hurt too?
If the site feels red, swollen, hard, and/or your BG raises uncharacteristically, then that is a bad site and needs changed. If it happens a lot, that infusion set may not work for you.
If it only hurts for a while after first inserting it, you may have just hit a nerve or got it in the muscle. That pain should diminish with time, though It can happen if you fill your new reservoir with cold insulin, too. Open bottles are supposed to be kept at room temperature, or at least left out long enough before filling to come to room temp.
Diabetes is just plain freaky, too. There isn’t always an explanation for the randomness. Good luck!