Side effects of steroid injections are minimal. Too many injections can cause the joint cartilage to break down. This is very unlikely in someone having a single injection.
Sometimes patients report a brief increase in pain a couple days after the injection. This is a common response that will go away and long-term pain relief will occur.
Specific studies of patients with diabetes haven't been reported. A recent report comparing the use of two different kinds of steroid injections was published. The only adverse effect mentioned was an increase in blood sugar values right after the injection.
If you are used to tracking your glucose levels, then just monitor yourself after the injection. You should be able to adjust diet and exercise levels to correct for any unusual spikes or sudden drops in glucose levels.