I think it hurts when Mbuna nibble at your arm because their teeth are designed for pulling algae off rocks, so they get hold of the hairs on your arm and pull, rather than actually nibble at your skin.
Mine used to do it all the time, so I've learned to do a weird finger-motion as I put my hand in and they all get skittish and flee for their caves... :lol: Except one, who just likes the taste of arm too much.