The data
block does not display all its children anonymously, you can check its template file (app/design/adminhtml/default/default/template/sales/order/create/data.phtml
) to see how it's actually working.
To display your own block below the shipping methods, you will need to apply your own template, based on the original, to the data
block, and to add a corresponding getChildHtml
call where you want it to be displayed.