Depends on what expert you talk to, but small and moderate amounts of shrimp seem to be acceptable, The main issue about sea food has been mercury and other things, esp in larger fish

Pregnancy nutrition: Foods to avoid during pregnancy - MayoClinic.com

Is it safe to eat fish and other seafood when I'm pregnant? | BabyCenter

I never had a problem, but you should follow what your doctor says. Everyone is different and you don't want to take any chances:)