I think because by that point Angel had been tortured a whole bunch and was sensitive to pain of any sort. Maybe VampWillow tormented him with one? She liked to burn him for fun as I recall.
I remember in S1'Angel' he's physically burned by the cross Buffy's wearing whilst they kiss but he doesn't visibly show pain. But then his uh, mind's on other things. 😀
Maybe in the real 'verse Whistler put him through an intense practice session to stand up against crosses and such, like a training montage out of Rocky. 🙂