How does sedation works? im under the impresion that while sedated (for surgical extractions and such) you are conscious and could actually feel scared or be in pain you just wont be able to remember it, is that true?

Sedation has levels from least to most. The most sedation takes away the bodies control of sensation/feeling along with protective functions like breathing/airway protection. With lesser sedation, breathing and airway protection and the ability to rouse from the relaxed state are preserved. Paired with other agents, minor procedures can be done without the need for full sedation.

You won't feel pain because you will still have local anesthesia. If you are so concerned and worried than request iv anesthesia where you will be rendered unconscious.