The asymptotic concentration of the Fréchet mean of IID random variables on a Rieman-nian manifold was established with a central limit theorem by Bhattacharya & Patrangenaru (BP-CLT) [6]. This asymptotic result shows that the Fréchet mean behaves almost as the usual Euclidean case for sufficiently concentrated distributions. However, the asymptotic covariance matrix of the empirical mean is modified by the expected Hessian of the squared distance. This Hessian matrix was explicitly computed in [5] for constant curvature spaces in order to relate it to the sectional curvature. Although explicit, the formula remains quite difficult to interpret, and the intuitive effect of the curvature on the asymptotic convergence remains unclear. Moreover, we are most often interested in the mean of a finite sample of small size in practice. In this work, we aim at understanding the effect of the manifold curvature in this small sample regime. Last but not least, one would like computable and interpretable approximations that can be extended from the empirical Fréchet mean in Rie-mannian manifolds to the empirical exponential barycenters in affine connection manifolds. For distributions that are highly concentrated around their mean, and for any finite number of samples, we establish explicit Taylor expansions on the first and second moment of the empirical mean thanks to a new Taylor expansion of the Riemannian log-map in affine connection spaces. This shows that the empirical mean has a bias in 1/n proportional to the gradient of the curvature tensor contracted twice with the covariance matrix, and a modulation of the convergence rate of the covariance matrix proportional to the covariance-curvature tensor. We show that our non-asymptotic high concentration expansion is consistent with the asymptotic expansion of the BP-CLT. Experiments on constant curvature spaces demonstrate that both expansions are very accurate in their domain of validity. Moreover, the modulation of the convergence rate of the empirical mean's covariance matrix is explicitly encoded using a scalar multiplicative factor that gives an intuitive vision of the impact of the curvature: the variance of the empirical mean decreases faster than in the Euclidean case in negatively curved space forms, with an infinite speed for an infinite negative curvature. This suggests potential links with the stickiness of the Fréchet mean described in stratified spaces. On the contrary, the variance of the empirical mean decreases more slowly than in the Euclidean case in positive curvature space forms, with divergence when we approach the limits of the Karcher & Kendall concentration conditions with a uniform distribution on the equator of the sphere, for which the Fréchet mean is not a single point any more.