“being physically dead and having no body, no more bodily pain would be possible.”
While that is very true, when the spirit of the deceased gets close or attaches to someone with a physical body, the memory of the physical pain prior to death is stored in the spirit and manifests in the host. It’s the reason why Jesus stated “Don’t touch me as I have not gone to my Father yet.”
I don’t remember where the scripture is located, but it is exactly how it works.
The word for touch is in the present tense; modern translations render it “cling.” Jesus is saying not “don’t touch Me because it hurts” but “don’t hang on to Me in the body because I have a very important job to do for you yet, which requires Me to be free.”