Do insects feel less pain and humans more? Buddha has asked to refrain from killing. However if small insects do not feel any pain then what is the harm in killing them?   

To simply put :  Do insects feel less pain and humans more ?
The purpose of the precept is to protect you and lift you up in terms of virtue (sila).

Undertaking the first precept of not killing is about changing YOUR state of mind.

It's so that YOU become compassionate, wishing for happiness of other beings, and not have violent and harmful tendencies.

Cultivation of virtues also has the effect of freedom from remorse, which leads to enlightenment. This is according to AN 11.1.

Also, please see this answer.