That's because in essence the cervix is what is being worked in the early stages of labor, and it already hurts, or is numb from baby's head.
Contractions in part use the baby's head to bear down on the cervix and continue to ripen it, open it, and flatten it for baby's birth.
When I was in labor, the chekcing of my cervix didn't hurt at my cervix, it was the lady who couldn't friggin find my cervix and had her hand up there beyond what was necessary.
