I went into my first pregnancy with a bmi of 39, and am starting this one at 40. It's not great, but like you, I am active (work out 2x a week with a pt, cycle around 50 miles a week, swim a km every week, 10,000 steps a day etc) and my bp is exemplary. The mw weighed me at my booking in, and it wasn't mentioned again. I may have been lucky, some women seem to get more comments from their midwives/consultants, not sure if it was because I was older and made it clear that I wasn't ignorant of the risks. I was matter of fact about my excess weight, and don't take offence easily.
I did develop gestational diabetes later on, which I felt very guilty about, and controlled it with a low GI diet. As a bonus this meant I didn't put on too much extra weight overall after the first trimester carbfest. Oh I did see a dietician once to discuss my blood sugar readings. Having a higher BMI doesn't mean you will necessarily get GD though.
I was lucky, my daughter was fine. Being fat is obviously not ideal, but don't spend too much time dwelling on it, just try your best to eat as healthily as you can, I think you can actually do SW whilst pregnant.
It is tricky trying to find time to exercise, and resist cake, when you have a tiny baby and are sleep deprived, but it does get easier eventually! Good luck.