I have had 2 horses that were given pen and never had any issues. It is painful for them, I actually had one growl believe it or not and try and bite the person giving it. That horse still hates the person who gave it to him.
Penicillin is thick and does sting going in, but if your horse is healthy, there is a lot of muscle on the neck than can easily be administered without much pain at all.
When I was younger, I was scared to death to give shots, watching my dad do it all the time, and once I got comfortable with it, I wouldnt let anyone else do it besides the vet.