I shave the labia bald because I can't STAND it when my menstrual blood clots and gets stuck in it and... eeew.
However, I just leave the bush alone. I trim it to keep it very short, but I can't really shave it. My hair grows in at an angle, so unless I pull the skin back and shave against the grain, there's always a little bit of pokey. The problem when I do that (besides small cuts that happen) is that the hair then retreats into the skin. Sure, everything is smooth, but once the hair starts growing out again... some end up ingrown. And it's just PAINFUL. The short, sharp, prickly hairs coming out of the sensitive skin just hurts.
The reason it's okay on the labia is because that area stays moist. The moisture keeps my hairs softer, so they don't hurt. But up top... Unless I apply lotion about every other hour for a day or two, it hurts.
Which sucks, because my guy has a fondness for bald. It's not that hair bothers him or anything; he just likes bald.