The Lord of Pain has the trigger “When you opponent casts a card” so this should trigger for all card types. However it ignores Vanguards.
Btw this is exactly the same for Painful Quandary.
I made a thread for something similar:
https://forums.505go.com/discussion/91747/casting-vanguards-does-not-trigger-geralf-the-fleshwright#latest
Relevant:
Is a Vanguard a card? [Investigating]
https://forums.505go.com/discussion/comment/975804
The other thing worth mentioning is that it triggers off of the cast which is right before it enters and the can’t be affected part says it only works while it’s on the board. It’s not even active yet to do anything when the vanguard is being cast in this scenario.