It’s commendable that people do not want to inflict pain on animals, but this one is definitely false on the first account (screaming) and probably false on the second (pain).
As for the “scream,” there’s the problem that lobsters have no throat, no vocal cords, no lungs, so how could they scream at all? The fact is that the noise is caused by air trapped in the shell. When heated it expands and forces itself out through small gaps, causing the sound – sort of like when you force air out between your tightly clenched lips to make a rude sound.
What about pain? No one can know for sure what a lobster or similar critter feels, but we can make educated guesses based on what we know about pain in other animals, specifically humans. And I am talking specifically about pain, not discomfort or unpleasantness. Pain doesn’t just happen automatically—it is the result of specific receptors, nerve pathways, and brain regions all cooperating to convert certain physical stimuli into the perception of pain. This has all been pretty thoroughly worked out in humans and other vertebrates. But guess what—lobsters and other crustaceans are not vertebrates and simply do not have these nerve pathways and brain regions (they don’t have a real brain at all, for that matter). In other words, no brain, no pain (sorry, I couldn’t resist that one!).
This does not mean that lobsters and similar animals do not feel anything, and it does not mean that there some stimuli they would rather avoid. These aspects of lobster and crab behavior are well established. But, that’s very different from feeling pain.
Can we know for absolutely positively 100% sure that lobsters don’t feel pain? No, because there’s no way for us to directly experience what they do and do not feel. That should not stop us from making educated guesses. I feel pretty sure that eyeless cave fish cannot see, and I have no doubt that you would feel pretty much the same pain that I would if you touch a hot stove, even though I cannot directly experience what the cave fish or you experience. I don’t have proof that the cave fish does not see or that you feel pain, but I am pretty confident that these things are true.
So, if you are worried about lobsters feeling pain, don’t eat ’em—but please, don’t nag the rest of us.