I also have anaphylaxis, use epipens and have never worried about hitting a vein. I don't think I've ever felt the needle when I've used my epipens. But I do think the needle worries other people who might have to administer it to me though and maybe makes them a bit more reluctant to do so.

Going to hospital afterwards (to be monitored for late phase reaction and receive high dose antihistamine and hydrocortisone) usually seems to involve putting a cannula in my hand for IV medication which is pretty well guaranteed to be much more unpleasant.