Why do high voltage / low amperage shocks hurt?
Dry skin isn't that conductive. You can stick your fingers on a 9V battery and feel nothing. Your tongue would be a different story though.

Check this:

https://en.wikipedia.org/wiki/Electric_shock#Body_resistance

Basically, skin resistance varies a lot depending on humidity, but also voltage and duration of exposure. If sufficient voltage and time is available, the "insulation barrier" breaks down, and you're in real trouble.

Cattle prods and other zappers have terminals in close proximity to ensure the current flows locally (which hurts) but not through the heart. High voltage is used to break the isolation barrier (it will arc through clothes or dry skin). But overall current and shock energy is very low, to make it relatively safe.