The exposure limits for EMFs are designed to protect against the established effects of EMFs on the body, whereby EMFs induce currents and voltages that can interfere with nerves.  There is no established mechanism whereby either a pregnant woman or the baby she is carrying would be any more sensitive to these effects than any other adult.  The evidence on exposure to magnetic magnetic fields and pregnancy outcomes is broadly reassuring - see a summary of what the review bodies have said.

It is, of course, possible to speculate that the developing foetus may be more sensitive to these or other effects, but this is speculation.  On the other hand, there may be an entirely understandable wish to take an extra level of precaution when it comes to pregnancy.

Many of the EMF exposure guidelines that have been published make no specific reference to pregnant women.  The issue is not mentioned explicitly in ICNIRP 1998, EU 1999, or ICES 2002.

NRPB 2004, the NRPB's most recent recommendations on exposure limits, does mention pregnant women but mainly in the context of radiofrequency (RF) EMFs.  For RF EMFs they suggest that the foetus may be more susceptible to heating effects than the adult is, so the public exposure limits (which are lower than the occupational limits) should apply to all pregnant women, to ensure excess heating does not occur.  Power-frequency EMFs do not cause heating, so this argument does not directly apply to power-frequency EMFs.

For power-frequency fields, they state:

The ad hoc expert group (NRPB, 2004) considered that such sensitive people [discussed in the previous sentences] should be adequately protected at lower induced electric field strengths, possibly about a factor of five lower than for normal adults. In addition, the group considered that this reduction factor would be adequate to protect the developing nervous system in utero, and in neonates and young children. It is concluded that a restriction of the induced electric field in the tissue of the CNS to less than 20 mV m–1 is adequate to protect these members of the population.

In a separate document (Documents of the NRPB 15-3, the reference given in the paragraph quoted above), they conclude:

Applied static electric fields also affect nerve growth and regeneration. In addition, static electric fields of typically 10–100 V m–1 have been reported to affect the development of the embryonic and neonatal nervous system; however, these processes are likely to be less sensitive to the effects of induced low frequency electric fields. Nevertheless, effects have been seen with applied static electric fields as low as 100 mV m–1 and at higher values of applied static electric fields which alternate slowly. These data indicate that a degree of caution is appropriate when considering the potential susceptibility of the developing nervous system, both in utero and in neonates and young children to weak induced time-varying electric fields.

ICNIRP 2010 does not specifically say anything about pregnant women in its actual recommended guidelines.  But in the "definitions" it does say:

"General public
The term General public refers to the entire population. It includes individuals of all ages, and of varying health status, and this will include particularly vulnerable groups or individuals such as the frail, elderly, pregnant workers, babies and young children."

This implies that pregnant women may be regarded as "particularly vulnerable".  But it doesn't specifically say how to treat pregnant women who are at work.

The 2011 Commission draft of the Directive on occupational exposures said:

"Where a worker has declared to her employer that she is pregnant then the requirements of Council Directive 92/85/EEC on the introduction of measures to encourage improvements in the safety and health at work of pregnant workers and workers who have recently given birth or are breastfeeding apply. The employer shall enable the worker to avoid having to enter areas where exposures exceeding the exposure limits for the general public given in Council Recommendation 1999/519/EC, or its subsequent revisions."

However, this was not present in the final adopted version of the Directive.

The UK Regulations that implement the EU Directive for occupational exposure define pregnant women as one of the groups of "workers at particular risk".  Employers are required to take specific account of these workers in their Risk Assessment (Regulation 8(2)(j)).  In their Guide to the Regulations, the HSE state (Section F):

Expectant mothers
As working with certain levels of EMFs could result in a greater risk to an expectant mother, you should encourage your workers to advise you in writing if they become pregnant. You may wish to take a practical approach and limit the exposure of expectant mothers to the public exposure limits. These are stated in Council Recommendation1999/519/EC, see Useful links ref2
If risks from EMFs are identified during pregnancy, you must take appropriate action to eliminate, reduce or control the risks; they must be included and managed as part of the general workplace risk assessment. You can find more general information on ‘Workers at particular risk – expectant mothers’ on the HSE website; see References and Further reading, New and expectant mothers; ref6.
Table 5 contains a non-exhaustive list of sources of EMF which may pose specific risks. You will need to consider these in addition to the information contained in Table 3; Sources of EMF which may pose a risk to workers.

The various exposure guidelines all agree that there is no need for exposure limits for pregnant women any more restrictive than the limits that apply to all members of the public.  The public exposure limits are valid for pregnant women and their unborn babies.

When a pregnant woman is at work, the wording of the various existing exposure guidelines implies it is acceptable to continue to use the occupational guidelines, which are higher than the public guidelines.  But as a precautionary measure, it may be sensible to apply the public guidelines to pregnant women at work.

This is the approach taken by National Grid.