Is IVF egg collection without sedation painful than HSG?

Hard to compare. It does involve a needle and the only needle that doesn't hurt is one that is stuck into someone else. Some people think it is more painful and others think it is less.
Yes. It would be very painful. The needle must be moved around a lot to get eggs out so you would not want to do that completely awake. Normally HSG is not painful if done the right way.