Rachael, didn't you see the thread on the study on pain and T and E in transexuals. Of course there is individual differences, but E increases sensibility to pain, beyond those linked to those differences. For most people, this difference may be small, but for some they'll get more headaches out of it. Its the same thing that happens in reverse when you take T for ftm.
Also, like I said, migraines are also linked to vaso-dilatation of blood vessels all over the body (including those in the head); that has nothing to do with sensibility to pain, but it increases the chance of headaches.