I'm probably the last person to answer as my views are actually reverse (no piercing and I prefer less painful methods of hair removal, let alone these days you can have a laser depilation).
... but I'll try to answer objectively. A piercing can be given under the place painkiller so you don't feel it, and when I was a kid I had my ears pierced and it hurt only for maybe 30 seconds. Sex lasts longer and a woman rarely has control in this type of sex when it will finish (unless she can pull out) so add lack of certainity to that.
Waxing legs, forearms and armpits isn't as painful as getting rough with the most private parts. You've probably been kicked on the leg and kicked in the balls to find the difference. Also, just like everyone struggles to tickle themselves, if a woman waxes herself she controls the pain doses. If she visits spa, the cosmetologist is also under her command. With a man - she's often shy to ask for a stop or the aroused man won't listen (or she *thinks* he won't listen) and it cummulates the pain and triggers a general feeling of big discomfort. Some women also wax the bikini, which indeed some of my friends tried and said "never again" and one of them even fainted in the beauty salon. So I guess, it's not actually so popular, at least in Poland. The new techniques slowly introduced in my country are supposed to be very much pain reducing. Maybe I'll try
Finally, the last thing, a woman must feel absolutely safe. Sometimes she heard bullshits from her friend and is scared in advance without knowing the friend's boyfriend is a brutal sadist with a 25 cm dick. Yes, unfortunately here size matters and even a delicate but big shafted man can cause the bleeding. So this is again where we touch the trust issue. Who'd like to bleed, undressed, in front of a partner? Women usually are also afraid but obviously too shy to precise it that things can get generally messy if you dig their stomach. So they prefer to use the word "pain". Sounds nicer.
~ Nathii, the sex ed prof