Late in the pregnancy it is called a stillbirth rather than a miscarriage.

Stillbirth is rare. Miscarriage is incredibly common.

Both are painful I suspect a stillbirth far more so. The difference is that people shouldn't expect a stillbirth anymore than the death of a child - there is no need to prepare for it as a likely outcome. Meanwhile if you are intending to have more than one birth child you are more likely to experience miscarriage than not - it is better to be ready for it than have it come as a total surprise.

Edited slightly.