Does laser hair removal have to hurt for it to be effective?

This is anecdotally what I've heard but I just went in for legs, underarms, and Brazilian with a Cynosure Apogee Elite laser, and didn't feel much pain at all. Most areas I just felt the cool air blowing, and then I felt little pin pricks only on my shins, backs of knees, and bikini line. This surprised me as I thought it should hurt on every pulse. I also don't think I smelled any hair burning and don't see any redness. Should I ask the nurse to turn the settings up next time I go?