The answer as to why we would prefer to wear 'uncomfortable' clothes meant for females, is not something women want to hear. It's because we get psychological comfort from it, which is increased even more by the increased tactile stimulation our skin gets from what women find uncomfortable.
The feelings which women find irritating, we find comforting, as it suppresses the gender identity dysphoria which makes us want to wear female specific things in the first place. But this admission would automatically make a woman think, 'Oh my god, he wants to be a woman. Is he going to want to transition now?'
And so on. It's the same reason why some of us go through great lengths, to try to change our voices so as to sound like a GG, change our gait trying to appear to walk like a GG, and all the other little things we do to silence the little voice in the back of our minds that keeps whispering, 'You're in the wrong clothes. You aren't walking right. Your voice doesn't sound right.' And all the rest.