My female friends (and girlfriend) are all okay with saying they need to pee. However, they will never say something like "I need to change my tampon". If they do, it will be directed at 1 person in hushed tones and because they're out or something.
Isn't that just courtesy? I've found the topic tends to really gross guys out (much as uniquely . . . male things gross out girls), so it's best avoided in mixed company.
Maybe yours are different though.