phrases - Is there a proverb, idiom for "those only who in line of fire only understand the agony"?

Is there a proverb, idiom for Those who are in line of fire only understand the agony. For the freewheeling back-seaters it is far too easy to sit back and say "Why do you worry so much?"

Example:

Jim: I think I made a big blunder in our report to the client today, think my boss will sack me tomorrow when he finds out. I am feeling suffocated due to the stress.

Joana (his wife): Relax Jim, you take too much stress. Nothing will happen. Come let's go for shopping you will feel pumped up.

Jim: How can I feel pumped up with your twisted logic. I am sure to lose this job. It is only those in the line of fire, who understand the agony".

Indians have a saying in marathi language "Jayachi jale tyala kale" which means "who is burnt only understands the pain"