In my personal experience, I believe that the pain is a warning sign that perhaps things need to change. I experienced significant pain (6-7) after treatment #11. I had a urine culture at that time that came back negative so my urologist elected to continue to treatment #12. After that, pain increased to an extreme level. Azo did not help and with little reaction from Urology team I went to an Urgent Care where I received antibiotics and the pain fully subsided after 3 days. During the following week, my knees and ankles swelled to the point that I could hardly walk. The swelling subsided in about two weeks but I continue to have significant pelvic pain. I have since had a confirmed diagnosis of Reactive Arthritis, a side effect that apparently only affects 5-6% of BCG-treated patients. Urologist says that I am done with BCG and should transition to Gem-Doce after 6-month rest.
To samy123's question, I did not experience urgency, but I was prescribed Mirabegron for bladder spasms (feeling the need to pee every 20 minutes) and it worked well for me.