A simple answer to this question is no, any kind of sex (oral, anal, penis-in-vagina, among all the other kind of sex) typically is not suppose to hurt. Use of lubrication is highly encourages to prevent any kind of unwanted pain and tears. There is a misconception in our society that sex is supposed to be painful for people with vulvas when they have penetrative sex for the first time.
Everyone can experience painful sex to some extent. If you experience discomfort during sex, try switching positions, using more lube, engaging in foreplay or taking a break.
But, if you are experience painful sex consistently, there might an issue. Referred to as dyspareunia. Symptoms include pain during sexual entry, penetration, or thrusting.
It will usually appear as burning, aching, cramping, and throbbing.