Let me rephrase that. They didn't outright ask for it (except for one), but they had the most intense orgasms when I was deep in their asses. Of course, that only once they got relaxed and used to my size. It's not like I would immediately start pounding their asses.
Personally, its not something I'd ever ask for but I can also say that if the man I am with insists on it I usually submit to it. It can be uncomfortable.
So, from my personal experience, not only is it more pleasurable for a man, but all of the ladies I did this with, wanted it balls deep in their asses.