Welcome Amber @Amberleedyr to the TypeOneNation Forum!
Yes, a bit of a “sting” is quite normal for any / all infusion sets just as a sting or can be felt with a pin or needle prick. For many years I used the QuickSet with both 6mm and 9mm sets and would occasionally feel a little bit of hurt - but the hurt or itch would go away fairly quickly. I found that the hurt could be eased or forgotten by lightly rubbing or massaging around the insertion site - I’d massage around on the white adhesive part and this would also make certain that the tape was tight.
I tried three sample Mio’s and if I remember the pin=prick on insertion was the same as with the QuickSet. All the needles these days are a “piece of cake” compared to the 27 gauge 1.25 inch insulin needles I had to use in the 1950’s.