Other countries do vaccinate. I have a lot of friends in the U.S. and when I was in a similar position to you (pregnant with a nearly-3yo Dc1), they urged me to vaccinate.
I phoned a private GP, who I already use for the flu vaccines. She ended up talking me out of it. In my case, my DC1 had chickenpox, very mildly, as a baby, so instead she said a more appropriate course of action rather than blindly immunising would be to test her for immunity first. She then said that blood tests on a young child were probably something I would need to think about.
She and the midwives I asked about it also said that the baby would likely have my immunity due to breast feeding (I took this with a pinch of salt as my own DC1 was only 4-5mo and bf'ing when she caught it!). But they all seemed to be saying...it's a small risk.
IIRC, the chickenpox vaccine was expensive enough to make me think twice, over £100 certainly and it may even have been two doses needed. I know you can't put a price on health, but in the end DH and I decided not to vaccinate DC1. There may also have been the fact that I was at the end of the pregnancy and the vaccine might not have taken effect in time anyway.
DC2 has recently had CP at 15mo and DC1 didn't catch it again, so it seems she is immune and the vaccination or blood tests would have been a waste of time, tears and money.
I should add that I also know plenty of children who have been exposed at nursery and school many times and never caught it, your DD could be one of the lucky ones.
My view is that chickenpox can be very nasty (there was a recent thread) BUT if the risk were bad enough, the vaccine would be rolled into the MMR. And it currently isn't.
But, if you can afford it then why not look into it?