Your first question will probably get you an answer you aren't after (how does a needle prick translate into pain is along this vain though I'm sure not the material you're interested in), I think the best way to answer what I think you're asking there is that heat destroys cells and proteins and is just in general bad for your body so you feel pain as negative reinforcement to avoid being burnt.
Heat is kinetic energy yes, but kinetic energy of the molecules relative to one another.
As a side note I'm under the impression that "heat" is a verb and the correct term here is "temperature", small change but it seems to make things clearer.