Presumably, the mythical sentient pain-feeling creature would merely assign high utility to serving its master. Given enough pain/​dis-utility, it would move on to a different master. As long as this were allowed, your horrifying, sentient, pain-feeling punching bag would not arise.
Edit: But I see what you mean: canon house-elves are sentient punching bags.
Presumably, the mythical sentient pain-feeling creature would merely assign high utility to serving its master. Given enough pain/​dis-utility, it would move on to a different master. As long as this were allowed, your horrifying, sentient, pain-feeling punching bag would not arise.
Edit: But I see what you mean: canon house-elves are sentient punching bags.