Lots of good advice here, not much I can add really but shall try to contribute something.
How long have you been with this man bd? Of that how long have you been sexually 'active' as it were, and particularly trying penetrative sex? I've been with my OH for just over 3 years, and he is/ was my first; it was not fireworks in the sky-like for me for a while, probably a few months in terms of penetration, for a start initially it's quite an odd sensation and a wish to do it 'right', which is a little self defeating. Most women seem to take a while to enjoy penetrative sex fully, and as has been pointed out, not all women do orgasm through penetration.
Your man definitely needs to expand his definition of what sex is and what counts as foreplay, he won't know however unless you explain some of these things to him, and if he's insensitive, it's possible that 'subtle' hints won't work. Take some time alone, (note, turn off mobile, phone, computer etc and perhaps set aside a day orso that you might feel no pressure or time restraint on 'I must learn by 6pm today')
If the rabbits head is sometimes painful, look at getting something smaller or slimmer and experiment with lubes, oils etc. You'll find looooads of recommendations for toys, and reviews around here, and not everyone likes the same things; personally I hate rabbits (vibes and otherwise) but they make some people scream and their toes curl. Take your time, teach the man to take his time, you are NOT a fleshlight!
On the anal sex front, pain is useful, it is a signal that tells us when something is damaging our body, a warning sign that directs us to desist from an activity. There may come a time in the future when you wish to re-examine the area, but for now it (i) gives you no pleasure (ii) Is unpleasant and painful (iii) puts you off doing things and (iv) is HIS kink, not yours. Yes, it's lovely to please a partner, and sometimes pushing a frontier initially for them can be fun, or at least interesting. This is not, so try something else. There are hundreds of threads on anal around, and lots of advice, but all of them advise taking time to stretch, get the area used to stimulation, use lube, lube and more lube and stop if it hurts. If HE isn't willing to take it up the bum, why does he expect you (and women lack a prostate) to do so?
Bottom line (no pun intended), experiment on your own, tell him what you learn, and contrary to myth, most men prefer having some direction and instruction on what to do. Relax, try not to subject yourself to pressure, and help expand what he terms 'sex'.
Sorry for the length xx