They probably do, but my guess is they still fear the pain.
If you think about the Crucible from a lore perspective all that repeated death within such a short amount of time seems kind of gnarly.
I guess folks can get used to anything if they experience it enough times.
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I honestly think that they'd get used to feeling pain (physical, maybe not emotional) since they had to die over and over again and experience some pretty gnarly deaths (at this point I wouldn't be surprised if we met a guardian who was messed up due to how many deaths they've experienced). As for the Crucible...since it's guardian vs. guardian...then yeah it'd be pretty violent since a few of the guardians are really competitive. The real question is that was one of the reasons the Crucible was created was because it would help guardians coexist with violent deaths (lore wise).