MAKENA SHOT

So I had my last child at 35w5days, and now I’m pregnant again and they recommend me going on the Makena shot to prevent preterm labor. But I’m not comfortable with that shot. I’ve read all the side effects and told the doctor I wasn’t comfortable and they said they wouldn’t make me do anything I wasn’t comfortable doing, but I almost felt like they were judging me. Am I in the wrong for not doing the shot?