I think it would be safe to let them know. Here is a foot note in one of the communication I got from my lawyer. It didn't apply to me but I think it applies to you.
IMPORTANT: If you get married/divorced or have a child before your application is finalized, you MUST inform the visa office. Additionally, if your dependent is pregnant, please inform us immediately. The CIC publishes this official statement, "Failure to advise us of changes will result in the need for a new application and new fees for all family members." All family members must meet the criteria for immigration before you can become a landed immigrant i.e. medical exam and background checks.