A bit scary isn't it? I have had steroid injections in the past right in my spine due to the DDD and herniated discs. I have not had any problems with the actual injections. The only thing that I worried about is in the event of further injury,would I be able to feel it.
But what you read about the femur bone is a bit worrisome,and I just can't offer advice on that. I would say don't get the injection until your mind is at ease about it.
Hopefully some of the other guys will chime in soon.
Wishing you the best