How does dengue hemorrhagic fever lead to muscle pain?

Good question: I don't think the exact mechanism is known, but the body's immune response to the virus is responsible for most of the symptoms, . Including the "bone-breaking" pain. In the hemorrhagic fever form, the prior exposure has already created antibodies against the virus and their levels are higher, leading to the bleeding complications.

Mysositis: The dengue virus produces muscle inflammation which like any inflammatory process has pain as one of the major manifestations.