I can only speak anecdotally, but I'm sure it's like any other implement in that it Varies quite a bit from person to person (and beard to beard!). I stumbled upon this by accident when my wife was laying face-down in bed one night and I was tickling her back and sides. I had a little longer stubble than usual and leaned over to kiss her back and she jerked her body quickly and squealed loudly. At first I thought I hurt her. She has very sensitive skin, and after the fact I thought, oh, my stubble must have been too scratchy. So I said sorry, but she was still and quiet. If it hurt, she'd have said something like, it's okay, but she said nothing. That usually means I discovered a new tickle vulnerability. She's the type that will never admit to something being really ticklish when it's discovered and will deny it even when it's stupidly obvious. I said to her, oh? Did that tickle too? I felt her tense up underneath me (I was straddling her at this time). A little, "No!" came out of her as she smooshed her face into the pillow. I did it again on her side and she arched her back tightly and yelled, "Ahhh!" followed by laughter.
Of course I did it rapidly up and down her sides after that, and I got the most intense and desperate reactions out of her, definitely teasing her about how it was okay since it didn't tickle lol. I've done more experiments since, and it seems to do well on her back, sides, tummy, hips, and thighs. Interestingly, it's uncomfortable/scratchy feeling on her neck, but for those other areas, the prickling becomes a very sharp tickling.