There’s definitely just some variance in terms of how much it bleeds and whether it hurts. I haven’t really noticed any pattern in terms of injection site; I think there are a lot of factors. Holding the vial and maybe rolling it between your hands can help warm up the liquid, which makes it a little bit easier to both draw and inject.
The needle size will affect these things too – the thinner the injection needle the less blood I’ve seen, but then it takes a little longer to inject. Do you know what gauge you’re using to inject with?
I found the whole process very stressful for the first several weeks, but eventually it just became routine!
I had something vaguely (very vaguely) similar happen a bit after I started taking progesterone. At around that time, I started getting a random stiffness/weirdness/almost-pain at the front of my right leg, maybe a third of the way down. It did feel a little bit like a muscle cramp, but localized to a very specific (and consistent) area. I only ever noticed it when walking.
Touching and massaging that area didn’t hurt or feel any different, and there wasn’t anything visibly different either, other than it being the location of a fairly noticible vein. Since it wasn’t a particularly strong sensation, I never went to the doctor. In the end, it just kind of stopped happening at some point.
This probably isn’t that helpful to you, but wanted to describe my experience since it at least had a couple things in common!