This is one of those debates that has raged on for forever. And here's the thing. At the end of the day we're ripping the hair out of your body, so using common sense- there is going to be some pain involved. IT IS PHYSICALLY IMPOSSIBLE TO NOT HURT AT ALL NO MATTER WHAT YOU DO.
There are cheap waxes that are harsher on the skin- yes, and there are literally hundreds of different waxes on the market, so it's possible that you may be allergic to something in one of them. Of course there's no way to know this until you've been waxed. This goes for soft or hard wax as well. Personally, I dislike hard wax, which works really (I go by how clean the wax leaves the skin after removal) for only a few people. Sugaring tends to have the same issue- removing very well for people with a specific hair type, and then needing multiple passes for others.
The most important thing though, is what your practitioner was trained with. It makes sense that your practitioner is going to be more comfortable with whatever they've worked with the most. There are multiple factors that go into the ultimate experience that the client has, including the level of experience, the prep done before your wax, and the product used. In the end though, you should be more concerned with the level of experience your provider has. Ripping the hair out of your body is never going to be completely pain free, but it CAN be comfortable. Trust that you've researched your practitioner and are going to someone qualified and with sufficient experience & that you're prepped properly- worry less about what type of wax they're using!