I'm a hair stylist and I went to hair school my entire pregnancy handling color and lightner...my now 5 yr old baby is perfect! If you are worried..Highlights are the way to go as it doesn't touch the scalp!
I just got my hair high lighted two weeks ago. And had it done in the beginning also. High lighting doesn't go all the way to the root so the dye isn't being absorbed by your scalp. So it is safe. But I think even just dyeing hair is ok too. They just say all these things just in case but I honestly don't believe half the rules that are around now about what you can't do or eat during pregnancy. I dyed my hair with my first too, and he came out perfectly healthy.
I am pregnant with my 5th child and have dyed my hair during every pregnancy and all of my children are very healthy. I don't dye it nearly as often while pregnant as I normally do, usually two to three times while pregnant. But I have read that there is no harm to the developing baby. Just make sure you are in a well ventilated area.