Sounds to me like a case of irritation but before I commit to that…. Do you have any type of rash or bumps around the piercing? Is the pain like a sharp stabbing pain or is it more of a tenderness?
A nipple piercing takes about 6–8 weeks on average to heal. Any kind of “trauma” (e.g. catching the jewelry on objects, children/pets climbing and ripping at the area, changing out the jewelry too early) can cause the healing time to delayed until there is adequate time to heal. If you changed it out at two weeks, then you set your healing time back a bit. That’s not to say that it hasn’t fully healed by this point but that could be part of your problem. Just because it doesn’t hurt, doesn’t mean that it’s healed. I’m actually will to bet that your piercing hasn’t healed all the way which could make for pain and bleeding when you change it out.
The second thing is like what @Seaofclouds was talking about. People often react differently to different types of jewelry. You could be allergic to whatever metal you currently have in. Just because you bought it from the same place doesn’t mean that it’s the same type of metal.
More than likely, it’s just a little irritation. I would highly suggest putting in (and leaving in) jewelry made of stainless steel. Stainless is not very porous so bacteria and other microbes cannot soak into and “hang out” in the jewelry. Leave the stainless in for a month or two if you can. Watch it closely for the next week. Clean it like you did when you had the piercing done. If your condition worsens or shows no improvement within the next seven days, then it’s time to take it out/seek medical attention.