I've had two, diddl, though neither were done with u/s guidance (just hit or miss in those days).
They didn't hurt, either of them - but I could feel the needle inside me which was very weird. The first time I found it quite shocking, because I wasn't expecting to feel it in that way. Sort of like a (non-painful) punch in the ribs, it left me feeling a bit winded. The second time, because I knew what to expect, it really wasn't bad at all.
I had a fair bit of pain afterwards, in the shoulder area (nerve related, because your liver has no pain nerve endings in it as such) and had to stay lying on my side for several hours. This is to let the hole heal up without risking a bleed. I was given paracetamol, and was fine by the afternoon. The second time, I had a bit of pain for 24 hours but again, paracetamol was enough.
I think I would need a better reason than just 'don't you want to know for sure' if there's nothing that can be done - personally, I need a reason that makes sense to me to go through any medical procedure! Can you talk to your consultant again? Or your GP, to help weigh up pros and cons?
Also, I'm sure you could be given sedation (not general anaesthetic, but something calming?) before the biopsy, if you were really scared? Worth asking about that, too.
I know several people who've had liver biopsies, and no one has enjoyed them but no one has found them really awful either, iyswim.