Remember, one of the many great attributes of Pilates is that every exercise can be modified. You should never experience “bad pain.” Many people comment that their hips pop and click on exercises like Leg Circles. You might experience this more while circling in one direction.
If it is painful or bothers you, try bending your moving leg (or both legs if needed). This should take pressure of the tendons, ligaments, and muscles that are all working to help you through the exercise.