I was fit when I got pregnant, regular triathlons and training for a iron man. I had abs....by 30weeks I looked like the Michelin Man
. I'm 4foot and a fart and had a 7lb 10oz baby. My friend similar athletic ability but just over 6ft looked about 3months pregnant at full term and not a swollen limb in sight 
we both excersised during our pregnancies, I did stop though after a. episode of pre term labor but did continue to swim.
on the protein shake front, no you shouldn't take them. They have more than just protein, many have caffeine some have amino acids you shouldn't be taking in high quantities whilst pregnant, many are fortified with sweetners and some are actually really bad and have really bad shit in them basically.