(Just to be clear, my reference to AI is not singlural, but plural.)
Here is an article about how some scientists taught robots how to protect themselves from sadistic humans (i.e. little kids).
That being said, robots do not really care what happens to them. If you program a robot to go in an infinite loop, sure it might get physically hurt, but it won't complain about it. The only reasons you would express concern about a robot's welfare is because you either show empathy to it or because you view the robot as your property and you don't want your property getting damaged.