Sherlock and Mycroft seem to have a sort of banter/competition going on, but Sherlock looked genuinely upset in TEH when he accused Mycroft of enjoying seeing him being whipped and tortured. So while Sherlock's certainly resilient, maybe the idea that someone who cares for and is supposed to protect him might enjoy seeing him in unwanted, unconsensual pain, is very hard to deal with.

Unfortunately for Sherlock, he's held captive by another baddie, with Mycroft present/a captive as well if you'd like. Either way, this time the torture goes beyond physical abuse, and if Sherlock felt upset/embarassed before,he now feels entirely helpless/betrayed.

Up to you if Mycroft was unable to help / a prisoner, or if he's Dark!Evil!Mycroft and was in on it / set Sherlock up for this.