It's true that Brahman is conscious, and that Brahman is the one that gives both rewards and punishments, so in that sense it is the efficient cause of all suffering. But it is not being cruel or capricious in doing this; it is doing this in accordance with the law of Karma. Here is what Adi Shankaracharya says in his commentary on the Brahma Sutras:
The Lord, we reply, cannot be reproached with inequality of dispensation and cruelty, "because he is bound by regards." If the Lord on his own account, without any extraneous regards, produced this unequal creation, he would expose himself to blame; but the fact is, that in creating he is bound by certain regards, i. e. he has to look to merit and demerit. Hence the circumstance of the creation being unequal is due to the merit and demerit of the living creatures created, and is not a fault for which the Lord is to blame. The position of the Lord is to be looked on as analogous to that of Parganya, the Giver of rain. For as Parganya is the common cause of the production of rice, barley, and other plants, while the difference between the various species is due to the various potentialities lying hidden in the respective seeds, so the Lord is the common cause of the creation of gods, men, &c., while the differences between these classes of beings are due to the different merit belonging to the individual souls. Hence the Lord, being bound by regards, cannot be reproached with inequality of dispensation and cruelty.
Ramanujacharya says the same thing in the Sri Bhashya, his commentary on the Brahma Sutras:
But the assumption of his having actually created the world would lay him open to the charge of partiality, in so far as the world contains beings of high, middle, and low station--gods, men, animals, immovable beings; and to that of cruelty, in so far as he would be instrumental in making his creatures experience pain of the most dreadful kind.--The reply to this is 'not so, on account of there being regard'; i.e. 'on account of the inequality of creation depending on the deeds of the intelligent beings, gods, and so on, about to be created.'--Sruti and Smriti alike declare that the connexion of the individual souls with bodies of different kinds--divine, human, animal, and so on--depends on the karman of those souls.
So in some sense the real question is not "Why does Brahman make us suffer?" but rather "Why do we bring suffering on ourselves?"
To end things on a happy note, there is a way to escape the suffering that arises from our actions: Saranagati (AKA Prapati), or complete surrender to the lotus feet of Vishnu. This is described in the famous Charama Shloka of the Bhagavad Gita (which I discuss here):
sarva-dharmān parityajya mām ekaṁ śaraṇaṁ vraja |
ahaṁ tvāṁ sarva-pāpebhyo mokṣayiṣyāmi mā śucaḥ ||
Abandon all varieties of religion and just surrender unto Me. I shall deliver you from all sinful reactions. Do not fear.
So in an even deeper sense, the real question isn't even "Why do we bring suffering on ourselves?" but rather "Why haven't we surrendered to the supreme lord of all the worlds yet?"