Can someone explain how Ultron feels pain in this particular scene?

I'm not sure Ultron himself "felt" pain in the sense you're thinking of. He does react as if he was injured, because he was: whatever Scarlet Witch did caused that particular body to cease to function. Mostly, though, the dialogue here is symbolic: Wanda is telling Ultron that losing her brother felt like having her heart ripped out -- as she ripped Ultrons "heart" from his body.

Having said that, it's important to keep in mind that Ultron is not a robot. He's a unique creature: a combination of a robotic body, an artificial intelligence designed by Stark and Banner, and the sentient power of the Mind Stone.

He certainly seems to express plenty of other emotions during the movie, particularly anger and disgust. It's very possible that he's capable of recognizing the sensation of having a key part of his "robot anatomy" pulled out of his body and register that sensation as the equivalent of pain.

If you think about it objectively, there is nothing at all special about a human being. Humans are just biological robots running software on a dynamic finite state automata neural-net CPU (to the best of our knowledge). And there's nothing special about our CPU apart from the fact that a human engineer wouldn't have designed it that way (it's way too complicated to understand and debug, on the other hand, it can sometimes still function even if we remove half of it).

Since there is nothing special about our hardware, it stands to reason that there's nothing special about our software. By "nothing special" I don't mean to imply that it's not complex, only that it is all in our brain - it's just signals in a machine.

Given that complexity is the only difference between my mind and this Linux OS running on my laptop, it stands to reason that it's not impossible for hardware/software to be created that can experience emotions and pain the same way I am. (The corollary is that if it is impossible for a hardware/software to be created to experience emotion and pain then humans wouldn't be able to experience emotion and pain).

Thus, it's false to presume that robots cannot experience emotion and pain. While it is very highly unlikely that any robot we have today are capable of experiencing pain, that isn't true for the set of all possible computing machines (of which humans are arguably a part of).

Ultron isn't feeling physical pain in this scene, he's feeling emotional pain, courtesy of Wanda. One of Wanda's ability is to mess with people's minds, inject memories and feeling. Another is to read minds. And we know she can read Ultron's mind/emotions/intents, as she does earlier in the movie when she read's Ultron's mind and finds out he is going to turn her home city into an Asteroid, resulting in her heel-face turn. Any time she is messing with someone's mind, the tell tale red glow of her powers is also present, as you can see in the picture you posted. The physical part of ripping his heart out is as much symbolic on Wanda's part as it is to kill him.

As to Ultron, an AI feeling emotional pain, both he and Vision have shown a full range of emotions, whether this is from being fully functioning AI or from being born of the Mind Infinity Stone. He's not a run of the mill computer program.

The "heart" is most likely Ultron's molecular re-assembler, which allows him to heal, so it is his heart as it keeps him alive, but it is his weak spot. Scarlet Witch tearing it out was meaningful because it was a sign for the audience and in the lore that he was in essence dead. If Ultron can be dead. Idk.