I think you will find that most products you buy, natural or otherwise from pharmacists or healthfood stores will say that you should avoid them or ask your doctor first if you are pregnant or lactating. It is really just to cover themselves in case anyone had any problems. Some people are sensitive to products that don't cause problems in anyone else. You can never be 100% sure that something is not going to adversely affect anyone even if it is has been around for centuries with no reported problem.
I know its worrying when you see something like this, as a baby is so precious, but homeopathic remedies are safe in pregnancy. They are much better than herbal remedies, of which there are lots that should be avoided, and safer than aromatherapy products.
There is a lot of confusion around natural products. Different aromatherapists say different things about oils. Some say avoid all oils during the first three months, some say avoid certain ones, some say lavender is good during pregnancy others say avoid it as it is an emmanogogue (can bring on period. I also know women who have been given drugs during pregnancy while in hospital and have later been told by their GP that the drugs weren't safe, so you can see there is really a lot of confusion over all kinds of remedial products.
It may be that there is some other ingredient in the cream that is not suitable in pregnancy but it won't be the arnica. I used homeopathic remedies all the way through my pregnancy and during and after labour.
Most books and therapists who recommend arnica for any purpose are referring to tablets. Homeopathic creams can be useful eg calendula for cracked skin and graphites for dermatitis but in most cases I feel tablets are better. They are dissolved on the tongue and work very quickly.
As for tens machines I never used them in labour but have used them for other aches and pains and found they helped. I have also used them a lot on people with severe pain from serious injuries and supported women in labour who have found they helped.