Puncturing the skin has nothing to do with it. Human skin normally has high resistance, the palms and fingertips more so due to their skin being thicker and more likely to be calloused. Saline will always lower that resistance, though possibly not enough to allow for painful shocks across the width of your body from fingertip to fingertip. That's quite a lot of resistance to overcome. There's also the matter of the resistance provided by the terminals, but we'll handwave that.

How often would you try to shock someone's palms in a torture situation? How often do you expect to see current routed from the left hand all the way over to the right hand? And how likely are you to use just the lead battery terminals? Generally, you'd administer the shock across a shorter span, minimizing the most resistive part of the circuit. Any area with thinner, more sensitive skin is likely to experience thermal discomfort from a high amperage current, especially with lowered resistance. Even at 12V, it wouldn't exactly be pleasant. The resistance is lowered even further by using thick copper cables, which are much more conductive than the lead terminals.

The picana makes it all so much worse. Ohm's law tells us that current is equal to voltage divided by resistance. The rheostat in the picana allows the resistance in the circuit to be manipulated further at the turn of a dial. Cranking down the resistance means more current is applied, and that current is flowing through two copper conductors that are typically pretty close together. That means you have even less skin to serve as an insulator against the current, which ultimately results in more pain for the unlucky person being tortured.