Tuyet could guess what was about to happen. She slammed an elbow into Axonn even as Brutaka struck at him. Taking advantage of the moment, she wrested the warrior's axe from him. With a yell, she vaulted into the air and smashed Miserix with the axe. With a roar of pain, the reptilian Makuta fell backwards, right towards Helryx.
Reign of Shadows, Ch.9
This section is what I thought of immediately. So I'd say Makuta can feel pain.
If we think about it logically pain basically is just an intense feedback mechanism of your body, mainly being helpful in avoiding damaging yourself. So if you don't feel pain that's actually a bad thing in terms of survival in the long term.
So the Makuta would actually want to be able to feel pain in order to be able to react to/notice danger/problems immediately. Unlike other beings they might be able to simply shut the pain off at any point if they decide to do so, however - potentially loosing their tactile sense in the process, too, though.