I'd think that lighter rounds would hurt less, or at least, do less damage. Even though the muzzle energy is approximately the same (heavier rounds appear to be slightly better as capturing energy during the internal ballistics phase), the weight of the round itself affects density and momentum.
In theory (my theory, anyways), all else being equal, a heavier (denser) round would hurt more because it would cause more damage. It would do so by both deforming less (less energy loss to elasticity) and penetrating deeper (better retention of its energy during the terminal ballistic phase).
"The Bird of Hermes is My Name, Eating My Wings to Make Me Tame."