Yeah, really - why bother? Go through all that trouble to get into shape and then get pregnant and have to do it all over again after the baby? On the other hand, women who are physically fit prior to becoming pregnant, and who continue to exercise throughout pregnancy, typically have easier pregnancies and deliveries and their bounce-back period is shorter. I had a very easy pregnancy. The delivery - not so much. But that's mostly because Teri was facing the wrong way and I have a deformed pelvis as the result of breaking it when I was 19.
I don't think it would make a difference as long as her body fat doesn't get TOO low. Maybe keep it above 20%? I'm sure our resident OB/GYN would have a better answer than me. What do I know? I'm a systems analyst.