DS is 3. I'm pregnant with DC2. We didn't consult him before deciding to TTC 
I was nervous about telling him I'm pregnant but he has actually been very positive about the whole thing. It helps that he likes babies and is generally very affectionate. Occasionally he does say things like "I don't want the baby", "I don't want a baby sister", "I'm going to put the baby in the bin"
But mostly he says positive things like "I love my baby sister", "the baby is very cute" and talks about sharing his toys, giving baby his old things, showing baby how to do things etc.
I don't know if this is right thing to do or not, but I have told DS that we are having another baby because we love him so much and we thought it would be nice to have another one. We've also said that when baby is bigger they can play together. So it's not so much about replacing him but adding to our family.
So far he doesn't seem anxious about being replaced - not like your DD - but perhaps that will come when baby arrives. He has been quite needy and clingy though (which is a bit annoying during pregnancy when he wants to paw at me and climb on me all the time!) but I am just giving him lots of cuddles and reassurance.
I know you can't take children to NHS scans but we did have a private scan at 16 weeks and took him with us - we didn't have a choice (it was just before lockdown and we didn't have childcare) but actually it was good we took him because he was interested and talked about loads.
For ages he asked WHY is it a girl, cue repetitive explanations about the baby having a fanny not a willy, and repeated conversations about each of us and our genitals, who's a girl and who's a boy 
But however they react i think it's an important learning experience for them, if they find it challenging then our role is to help them work through it, not just avoid it.