There's a pretty big difference between tissue that incorporates keratin (a common structural protein) and a big ol' solid chunk of keratin. If Au Ra scales are keratinous, a better comparison than human skin would be finger/toe nails, the horns of various mammals, and cases of cutaneous horns in humans. In all cases, the keratin growth itself isn't where the sensitivity comes from - it's the nerves in the surrounding flesh reacting to whatever pressure/temperature/injury is felt through the keratin covering. Injury to fingernails hurts because of the damage to the nail bed, cutaneous horns tend to have inflammation around the base due to some underlying cause like a cancer, and rhinoceros's horns can actually be cut off without causing pain or injury because they're a solid block of keratin instead of having a live bone core like most mammal horns. (You see rangers doing this to wild rhinos to deter poachers - no point killing a rhino if it doesn't have a horn to sell, and it doesn't require a surgical procedure so it can be done relatively easily in the field.)
There's a couple of options for sensitive scales. One is that the scales are soft, keratin-heavy but also containing blood vessels and nerves and whatnot. I think lore specifically says they're hard, though, iirc. Another option is that they have a thin membrane growing over them, like turtles do on their shells, that contains nerve endings. This would be pretty anatomically neat - Xaela lore mentions scales shedding, and that membrane on turtle shells dries up and flakes off after the turtle is dead, so you'd get the neat detail of Au Ra scales peeling and shedding off in layers as they grow up, sensitive to touch mostly when they're new. Option three is that each one has a live core, like a tooth or a feather's quill, which again would dry up when the scale sheds.
There's a couple of options for sensitive scales. One is that the scales are soft, keratin-heavy but also containing blood vessels and nerves and whatnot. I think lore specifically says they're hard, though, iirc. Another option is that they have a thin membrane growing over them, like turtles do on their shells, that contains nerve endings. This would be pretty anatomically neat - Xaela lore mentions scales shedding, and that membrane on turtle shells dries up and flakes off after the turtle is dead, so you'd get the neat detail of Au Ra scales peeling and shedding off in layers as they grow up, sensitive to touch mostly when they're new. Option three is that each one has a live core, like a tooth or a feather's quill, which again would dry up when the scale sheds.