"There is a 1 in 1600 chance of a perforation." That one cost me surgery.
In 1% of cases the dura may be pricked during an epidural insertion, and since the needle is larger than in a spinal tap it is possible that the cerebrospinal fluid may leak out resulting in less cushioning to the brain resulting in a severe headache and neck ache that will last for days and may require a second epidural insertion to create a blood patch to clot the hole, but this is very rare. It may be rare, but it hurts... a lot.
Maybe I am getting old enough to read the fine print and start taking it seriously.