Do you think the short-circuiting of components connected directly to the nervous system might cause some kind of painful feedback?
Unlikely.
The brain itself is completely devoid of pain receptors. Something could be throwing high voltage arcs inside there, and you wouldnt feel pain from the brain.
In the case of a directly wired prosthetic limb, the subject would only feel pain on a malfunction if the limb was wired to their pain receptors, and those circuits were being errantly activated. There are some possible scenarios where it would be ethical to attach a device to a subject's pain reception nerve endings, (Pain is a valuable sensation to alert the person that they are being harmed-- allowing a prosthetic limb to inform the wearer that they are damaging it with a pain response is a somewhat questionable, but still logical course of action) however the technology to do that poses a number of very nasty ethical quandaries.
Bay12 is a fairly well-read forum community, so I will presume that at least some of you have read Frank Herbert's Dune-- If we attach devices directly to the nervous system, and have very skilled surgeons able to attach devices to pain receptor nerves, we can create an "Early, clunky prototype" of the "pain amplifier" technology Herbert describes in his book. In the hands of the unscrupulous, that's a scary scary thing. What measures should we take to avoid having assistive technology become torture-- er "Enhanced interrogation" technology?
But in regard to a short circuit? We PURPOSEFULLY run current through peoples brains as a therapeutic technique!
I am much more worried about the controlled and misused aspects of advanced prosthetic tech.