As a dentist I wouldn't remove them while you were pregnant if there was no clinical need (eg if the patient though they were ugly and wanted white instead). But if you've needed treatment and one had to be removed, definitely I would. The risk is vanishingly small, less risky than lots of other things that you don't think twice about v
As far as I'm aware there is not enough risk from them to warrant removal (which in itself isn't a risk free procedure). There are far more risks out there that you are exposed to every day than your fillings. If the NHS isn't fussed, I wouldn't be.