"The only exceptions to this are the brain, which isn't served by the nervous system, and the nerves themselves, which don't have other nerves dedicated to warning of any threats to the nervous system."
Our homo sapiens brain has a huge prefrontal cortex to assimilate and understand our environment, guage, relate to and percieve all manner of potential threat to self as well as an equal ability to confuse, become disoriented, and just plain stuff it up. We've all heard of the operations going ahead on living human's brains with the patient responding, without pain to various probings into the cortex. The surrounding soft tissues are however, endowed with the common elements of local sensitivity to pressure, inflammation and disease. While the central processor , so to speak, has very limited capacity to relate to direct threat when occuring deeply, the balance is made up for , for the most part, by periphery.
Nerves, as mentioned further up the chain of these posts, have the nervo nervorum as well as blood vessels. Nerves are indeed capable of having sensations of pain ( created in the brain like all other pain ), such pain is apparent at sites local to trauma, compression etc.
The far more common experience however is that caused by protective spinal behaviour, where irritations to spinal nerves give rise to nociceptive input such that the brain will interpret the threat ( and therefore provide the pain ) as if required at the presumed site of threat, the structure served by the nerve, rather than the nerve body itself. This gives rise to the experiences grouped together known as referred events. These include, altered sensations, altered patterns of muscle recruitment, altered autonomic functions and pain.
The chronic sufferer of spinal pain ( with or without it's attendant three other states) is suffering from the disposoition that this successfull feedback loop has to reinvigorate and redispose itself to continued action, untill turned off.
Movement does this, provided that any historical or present threat is minimised or not present.