Anecdotal evidence — as a student in college, I worked for a department that once hosted some Scandinavian students. As the only woman in the department (I was an engineering student) I suddenly found myself surrounded by several tall blond men. I’d never seen so many natural blonds in my life! It was fun but weird.
Nowadays however blonds are not so rare in places like Sweden since they’ve had so many refugees resettle there from Africa, etc.
Personally, I think women should do whatever they like. I prefer to leave my hair natural for the most part, though I also use henna sometimes. I am an artist and so I’ll go for the more vibrant shades. I have never gone blond.