Why doesn't Mara suffer?
Mara (a psychic that decides to harass Buddhists) does suffer according to the suttas: 


  Then Mara the Evil One, realizing, "The bhikkhuni Vajira knows me," sad and disappointed, disappeared right there. SN 5.10
  
  
  
  ‘Get out, Evil One, Evil One, get out. Do not annoy a Tathāgata or a Tathāgata's disciple, lest for a long time there be woe and sorrow for
  you.’...While he was looking around, Evil One, Dūsin the Māra deceased from that place and arose in the Great Niraya Hell. What was that Niraya
  Hell like where Dūsin the Māra was boiled, For striking the disciple Vidhura
  and the brahman Kakusandha? It was that of the hundred iron spikes,
  all suffered separately. This was the Niraya Hell where Dūsin was
  boiled, For striking the disciple Vidhura and the brahman Kakusandha. MN 50