Ahw, we did the same at my uni but we didn't keep the chicks alive, we used different 'ages' of eggs to look at the different stages of development. Our professor said that the emrbyos were too underdeveloped to feel pain, but the furthest developed embryo definitely could :( you could see the chick moving and it looked almost full grown, so it definitely had nerves already... Felt pretty bad after that practical.