I think it can be difficult to feel secure when you are heavily pregnant.
Whether you feel comfortable with him going to a party without you may have a lot to do with whether your dh is being supportive and attentive to you the rest of the time.
I had ante-natal depression and some of the root of this seemed to be that I felt jealous that the rest of the world, including my husband, was having a ball and I was left out, whilst people scrutinised what I ate and drank and felt at liberty to give me advice and criticism.
Do you feel like this? Feel free to tell me where to get off - it may be wide of the mark, but just a thought.
Anyway, on the question of whether he should go - I know in your position, I'd have prefered him to not want to go. However, you can make him think you're great by letting him go and not complaining. As someone else said, can you invite friends round for that evening? And can you plan something together, like the cinema, or a lovely meal for another night?
If you seriously mind and think that you will resent him if he goes, tell him and explain how you're feeling. Suppressing resentment causes problems later