It’s possible that the brain matter itself doesn’t have innervations but you do have blood vessels and other structures that do have them and those are the ones you feel.
I really do think this is a straight man experience. There are no shortage of compliments among gay men and not in a sexual way. I do wish it were more common among men in general to compliment each other without people making it weird or thinking there must be an underlying reason for it besides just being kind to one another.