I haven't been offered it (my anomaly scan is on Thursday - I'll let you know if they offer an internal - I doubt it though as we almost didn't get an anomaly scan here!)
My gut feeling though is that it's unnecessary unless you're known to be a high risk pregnancy, but that might just be because I hate the thought of the discomfort/embarrassment factor of an internal!! (Daft that it would embarrass me considering how many different midwives and doctors saw my bits with ds but there you go...)
So yes, I think you did the right thing in refusing I haven't heard of any particular risk with them though, so I think it would be down to personal preference.