I've read some stuff about hot tubs since that's the temp I like in my bath tub and shower and it said not to let your core temp raise above 102. It had some other helpful info too so maybe Google hot tubs and pregnancy.
The biggest risk is you getting over heated and passing out. So if you feel dizzy or light headed you need to turn it down. As far as the baby having problems it is possible but really unlikely from just taking a 15-20 min shower especially since your not submerged. As for baths, I'd turn the temp down just a tad bit to where your skin doesn't get red and again get out if you feel over heated. I loveeee scolding hot showers and baths. My showers I still take pretty hot, but if I'm taking a bath I turn the temp down a little and if I start to sweat or I'm red I get out for a couple min to cool down. I read if you can't get into the tub quickly (you have to slowly work your way in) its too hot.