I worked as an aide in a PT clinic and we were always extra careful with MS patients not to challenge them too much and to back off. No pain no gain does not apply to PT. The best way to make steps forward is to take little baby ones (that applies for everyone, not just those with MS). If your PT is more like Nurse Ratchet, it's probably time to find a new one.

Remember, there's no reason you can't change the resistance, lower the weight, or just stop the exercise. It won't/can't do you any good if it's out of your league.