In an American survey based on a probability sample of 3,017 women aged 18 to 93, around 40% of participants reported pleasure from touch around the anus, and approximately 35% from shallow penetration. These are self-reports from women in a particular sample: they show a range of experiences rather than setting a norm for everyone.
An anal plug can create a feeling of fullness or pressure. Some people find that pleasurable, others do not; it does not guarantee an orgasm and is not an essential part of sex. If you want to try one, choose a nonporous toy with a flared base and use plenty of lubricant: the anus does not lubricate itself. If you share the toy with another person or use it vaginally after anal use, wash it or change the condom.
Pain or burning is a reason to stop, not something to endure. If bleeding occurs or pain keeps returning, seek a medical assessment.