I've always wondered about that too, because I favored hot-ish baths during both my pregnancies. So I just did a google search & here is what one ob/gyn said:
"Anecdotally, an increase in core body temperature has been associated with an increase for congenital malformations (birth defects). Therefore, Ob/Gyns advise women to avoid excessive heat, especially during the first trimester. This includes excessive heat encountered in the work place, Jacuzzis, baths and saunas.
Taking a hot shower usually doesn't result in an increased core body temperature, provided that the shower is not excessively hot or long.
Heating pads, when used appropriately, are safe to use during pregnancy and will not increase the risk for malformations."
Another ob/gyn said there is "uncertainty" surrounding the effects of a hot bathso I gather no one knows for sure exactly how dangerous hot baths are, or if they're dangerous. But they likened the raise in temperature to a feverand said that high fevers are bad for developing fetuses expecially in the first trimester.
Hope this fills in some of the blanks. . .