You must do whatever you think is right of course. In terms of the other issues you raised, obviously you are entitled to a risk assessment, but that could either be a serious thing, for example if there were risks you were being unnecessarily exposed to and your bosses refused to address them, or much less serious, such as not getting round to doing an assessment. Not getting round to doing one is obviously not acceptable either, but potentially less serious I think depending on the job in question.
Obviously with the midwife appointments they don't sound as though they were particularly accommodating, I agree. But I'm assuming they didn't actually refuse to give you the paid time off you were entitled to, just grumbled about it.
Receptionist comments are not relevant, unless you reported them and the bosses refused to deal with it. They can't legislate for other people's attitudes so it would be a refusal to address it when it was brought to their attention that would be a problem.
In terms of your time of when your midwife told you to take the day off, whether that's acceptable depends entirely on what they normally do for sickness absence. Do they normally pay people who take a day off sick? If they were struggling financially at the time, which seems likely, they may not have been able to afford to pay you for time taken off sick. If everyone else gets paid for sickness absence and you didn't on this occasion, obviously that's much more serious. But if standard sick pay is SSP only, which it often is for small businesses for financial reasons, then not paying you on that occasion isn't a problem. You may have felt that because the absence was pregnancy-related, then morally they ought to have treated you differently and paid you. But in circumstances where they are suffering financially, and bearing in mind trying to be fair to other employees who presumably don't get paid regardless of how genuine their illness is, then not paying you isn't unreasonable.
I'm not going to comment on potential compensation you might get for this, because that's not my area.
What I would say is this.
If you were thinking of not going back to work anyway, then even getting a redundancy payment rather than just resigning later might be a bit of a bonus.
On the face of it, obviously without further information, it seems unlikely that any of the other issues you've mentioned warrant taking legal action. So it's likely to be purely about this one specific requirement they have not followed.
I am all for people taking the appropriate action where employers are behaving badly, of course. However I think where, as seems likely, there is a genuine intention to do the right thing, and genuine ignorance of what is really a fairly obscure and unlikely piece of positively discriminatory legislation, and there is time to put it right, morally you ought to at least give them the opportunity to do that.
If they are in such financial dire straits they are having to cut their staff by more than half, then the last thing they need is big legal bills. If you were to raise the issue and they refused to take further advice, ignored you, or continued on as they were, then absolutely fair enough of course. But keeping quiet intending to take what is possible unnecessary legal action against a small struggling employer just because you can doesn't sit comfortably with me at all I'm afraid.
I am speaking from a slightly biased point of view really, as many of my clients are small employers just like yours. I hesitate to make excuses for employers; as I am constantly saying to my own clients, it is their responsibility to inform themselves of their obligations and to fulfil them, and some employers do treat people incredibly badly. But I do think where there is a genuine mistake (that can quickly and easily be put right) rather than deliberate, conscious or blatant discrimination, then the employer ought to be given the opportunity to put things right if possible. Just as it would not be fair to dismiss someone for a first offence other that in very serious circumstances. Sometimes it's not possible to put it right. But in this case it is.
In terms of how stressful bringing a claim is, it can depend obviously on the nature of the claim and how vigorously it is defended. But it is likely to take a few months at least and really isn't something I'd want to be going through with a new baby unless I had to. You will also need to check your house insurance to see if you have legal cover available to you.
I wish you luck whatever you choose to do. I know you need to think of what's best for you and your family first and foremost but I've just given you my very personal immediate response to what you've said. Best of luck with the baby as well.