Interesting shaving doesn't feel painful at all to me. No matter which way I do it. Well unless I cut myself.
The two biggest things for me were using a shaving oil rather than a cream, and shaving first with the grain and then across.
The latter required more time as my facial hair is very thick and the “direction” seems to change a lot on my face.
I can shave with a dull blade, completely dry, against the grain, in any direction, and it doesn't bother me a bit. Occasionally I'll cut myself and not notice.
(I don't use a dull blade since it's not efficient, but I'll use one if nothing else is available.)
If it is gene based, I'm not sure if it's something that moderates pain tolerance, hair / keratin composition, or some combination. I can grow a really thick beard, fwiw.