Any long term effects from an epidural are very very rare.
As far as headaches from csf leakage, it happens, it is simply repaired by having a blood patch procedure done.
Permanant damage is almost impossible with the technology used today, the cath is so small that the doc would have to be jamming the needle all over the place intentionally trying to do damge for there to be damage.
More often than not, when you ask about "pros/cons" you will only hear from the folks that have bad stories. I have had spinal anesthesia and epidural anesthesia, and tons of other injections. No problems from them and you should not have problems either.
Unless you have some need to be "natural", it is smart to use the pain medicine, it will allow you to have a much more enjoyable experience.