@Tamerlane If such grinding was done to a horse's hoof, like shown in this chapter, I'm sure the horse would at least feel the vibrations and the slight sensation of the scraping against their hooves. I'd say it's more "they don't feel pain" rather than "they don't feel anything." It would explain why she was reacting like she could feel him scraping her hoof and thus knew when he stopped, which then prompted her to ask if he was done. Of course, it could also be that she could simply hear the noise, so even if she actually couldn't feel anything as you said she could still hear it happening.
Ultimately, most of her reactions are just psychosomatic in nature. Having horse-shoes put on is something she's clearly never done, and she even admitted that not even her parents have seen the bottom of her hooves(as far as she's aware, anyway), so clearly her hooves are a sensitive subject for her. The thought of someone "violating" her hooves is enough to throw her into a tizzy. Seeing him sport the nail he was about to drive into her hoof was basically nail in the coffin. Pun intended.