I think you're quite right, alpha.
For me, my Catholicism was the beginning and inspiration for my masochism, and the conflict (and the embarrassment) is cultural. I mean, as a girl I read about St. Agatha and St. Barbara. When the words in The Lives of the Saints said that "Agatha smiled when the hot pincers were brought to her breast", I was forever impressed that she enjoyed it. Soon I knew that I would too.
It's hard for me to see a conflict between my religion and my masochism in the face of that.