I'm in my thirties and have never had a prostate exam. I don't intend to until a doctor tells me that I should consider it. But I just don't understand why you would have one long before your 40's. You say you know other people who say the same thing happened to them. Do all of you go to the same doctor?
Getting a procedure with someone else in the room, someone who is not your doctor or an assistant in some capacity, means that your patient information is not necessarily protected by H.I.P.P.A.. It probably doesn't matter if its a family member in most cases, but its weird.
I did have to go to a urologist when I was 17 because I had a testicular torsion. It was my first time seeing a specialist, and I was nervous and didn't know enough medically to be able to say yes or no to any suggestions he might have. My mother, who was a registered nurse, came with me and was in the exam room with us. During the exam I stood behind a curtain, I didn't want my mother to see that part, but I was glad to have her there to help me make the decisions I had to make based on the exam and discussion with the urologist. Thinking about it now, it does seem really awkward, but so what.