I was also under the impression that foil shavers were all fine, but I see that Rabbi Avrohom Blumenkrantz ZT'L writes the following in his Pesach sefer "...The new problem being discussed today is that the micro screen shields are so thin that they on their own have a cutting ability. We tested it and found out that if you bring a hair through the holes in the micro screen shield and by just moving the hair without to much pressure it could cut the hair. This is true for any brand of Micro Screen shield. It is interesting to note that Remington Dual Foil Shaver, it is advertised as such: "Microscreen CUTTING system with two ultra thin flexible foils and 112 diamond hooked Cutting edges" The problem is two-fold: 1) the outside screen can cut without the scissors action and 2) both blades are cutting and based on what we wrote above it is not good."
Assuming this is accurate, the screen itself is considered a razor and is in direct contact with the skin which is forbidden.
Regarding the irritation, on the newegg website you mentioned it says "ANY electric shaver, whether its 30 dollars or 300, will take a month to get used to. It says right in the manual when you get it not to return it for 30 days". So while I sympathize with your discomfort, hopefully it is a passing phenomenon.