The Alexander Technique does not subscribe to the dictum of "no pain, no gain". It is more concerned with helping you to learn to move and use your body in a way that frees you from pain. Learning to change the way you use your body can sometimes trigger old pain as you go through the process of letting go of tensions.
People also sometimes feel emotions well up as they let go of muscular tension patterns. On the whole the effects of learning the Alexander Technique are positive - people often report feeling lighter, freer, more balanced, breathe easier, better co-ordinated, etc.