Sorry, but could you clarify which brand and length the nurse gave you initially, and what you got on prescription now? BD-microfine are among the shortest and thinnest needles (4mm, 32G) compared to e.g. NovoTwist (5mm, 32G). So, it's either a faulty batch (as mentioned above) or psychological (sorry) - first few times with the new needles is probably scarier much like the first injection.
Edit to add: Is there any particular reason why you got a prescription for different pen needles? If not, you could always try and request a prescription for the needles you got from the nurse. In my experience, they tend to be fairly nice about but this may vary with your location (I believe the technical term is "postcode lottery") - e.g. I got Humanpen Luxura HD and Humalog cartridges and Unistick added to my repeat prescription list with no questions asked. If that fails, ask the diabetes nurse at the hospital to send your GP a letter to issue you a repeat prescription for the needles you want.