No pain no gain?
As far as calorie burning, sitting on the couch burns calories, moving burns more. You don't have to be feeling pain to be burning more calories. If you go to the gym and walk the treadmill for an hour every day, you probably won't be very sore, but, combined with proper discipline in nutrition, you just might see excellent results.
But for building strength, which is often called hypertrophy (building muscle) you have to challenge your muscles. This still doesn't necessarily mean to a point of always being sore, but that is often a good indicator. You do have to work hard, though, usually lifting to a point where you can feel it's your limit.