I think the problem domestic animals have - whether pets or captive animals - is they don't have the benefit of the experience of other animals. A pet cat hasn't seen another cat give birth, pregnant animals in zoos and farms are often separated from the others, in the wild they'd have seen it regularly.
Unless a cavewoman was living on her own and never met another person other than her mate, she would have the benefit of the women around her. It's bit of a chicken and egg really, isn't it? She's not the first woman to give birth so others around her have and can support her and she may have supported other women.
Sex is different though. I've had images of David Tennant (not about sex this time) on Derren Brown's show where he's proving superstition on this group of people and they're running around trying different ways to make the clock change. What they don't know is that it's a random event determined by when two goldfish cross a line, so every time they do something and the clock changes they try repeating it to see if it works again. Sometimes it does so they keep doing it, sometimes it doesn't but they still keep doing it because it worked before.
So a cavecouple have sex and there's no baby, so they try some ritual and then do it again, maybe they get pregnant, maybe they never do. They might have realised that periods stop when you're pregnant and they go a few months without one then have a big one so they think they're doing something wrong and try another ritual... I can imagine that the idea that it's as simple as sex=baby was totally lost on humans for a very long time. Lets face it, even today our doctors aren't teaching us it's that simple. We have all these things we have to do or not do, the fate of our baby is in our hands, we do it wrong and the baby could be miscarried or die - then they tell us it wasn't our fault and nothing we could have done... This is one of my pet peeves, I think we're told too much "superstition" when it comes to pregnancy.