This story of the thinnest needle reminds me of a story one of engineering professors used to tell many years ago. A US toolmaker had a healthy competition with their Japanese counterpart. The US company one day announced that thay had created the world's tiniest drill bit - almost as thin as the human hair. The director of engineering packaged and mailed one of the new bits to their Japanese competitor.
A few weeks later a package arrived at the doorstep of the US firm - containing the drill bit that they had sent. Inspection under a microscope revealed that a hole had been neatly drilled through the center.
You are correct. The longer needles are able to be iserted further into our tissue. IF the needle is slowly withdrawn as the fluid is injected there is less tissue separation and therefore less pain results. If a person is very sensitive to pain, the placement of the needle into larger muscles with fewer nerves stems can also be a pain reducing factor.