Whiskers do not have nerves in them. They are simply long, thick hairs but their follicles differ from those of regular hair. Whisker follicles contain what is called a blood sinus which makes an animal able to feel movement of the whisker as it pushes on the follicle. That's how they use their whiskers to "feel" things.
Your bun is fine, he is not in pain. The whisker should grow back eventually.
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Six new rats