Why would that shock you? An epidural has side effects that should be taken into considerations. Plenty of women have kids without any medication…

Lots of women don’t want them.

Is there data on this? Specifically I wonder if women who refused it for a first birth still refuse them for subsequent births (or maybe they change their mind?).

I don't have any good data and would also be interested. Anecdotally, I do know women who didn't use them at first and started using them later for multiple reasons: aging, advice of medical team changing, unexpectedly low pain tolerance, and in a couple of cases, just wanting to experience an epidural with the last kid. :)

I also know some who stopped using epidurals, but fewer and most of them simply had become interested in more natural births between children.

They increase the risk of c-sections.