As already said, an epidural does mean that you're more likely to have intervention or complications:
You'll be asked to have CFM to monitor baby throughout.
You'll probably be confined to a bed (even with a mobile epidural you won't be able to move much more than to stand next to the bed, if at all) and staying active helps progress labour.
You'll probably have a catheter put in because you won't be able to feel when you need a wee, and a full bladder makes it hard for baby to descend.
The muscles which help to turn your baby during labour and birth don't do their job so well, which means if your baby is in a slightly odd position it will be harder for them to move into a better one (which can mean a longer or more complicated labour)
You're more likely to give birth in the lithotomy position due to lack of movement, meaning you'll be pushing against gravity - and you won't be able to follow your body's lead with pushing but will need to be told when to push.
You're more likely to need an assisted birth, and therefore more likely to need an episiotomy.
Intervention increases your chances of having a PPH or a retained placenta.
I had an epidural with DD (induced labour) and whilst the pain relief at the time was lovely, I had pretty much all of the above complications that then went with it. I wouldn't have another epidural unless it was absolutely medically necessary. I would sooner have the pain at the time and then it be over, than to have a pain free labour but all of the increased risks that go with it. The only risks on the consent form were things like back pain and headaches, none of the things I've mentioned there.