Snakes have very few nerve endings in their skin. Most of the nerves are underneath their scales, in and directly above the muscle tissue. So they do not feel heat until it has penetrated fairly deeply into the body. That is one reason why they don't move.
Another suspected reason is that pain avoidance is a learned response. Human infants don't pull their heels away from the nurse who is sticking in a lancet to draw blood, but they soon learn to pull away from something painful. Since most reptiles don't have a cerebral cortex to store information, they probably can't remember that pulling away decreases the pain and so they just tough it out. Anybody who's ever worked with injured reptiles will soon notice that they literally forget they have an injury and will try to walk or constrict as they normally do in spite of broken bones, burns, or what have you. It doesn't mean they don't feel the pain, just that they don't remember that a particular motion will make it hurt more.
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