I spoke to my MW about this as I am a regular gym goer, plus we have an allotment.
Her advice was as long as you don't do anything new or increase intensity then excercising is fine, obviously after a certain point have to stop any excerise that involves lying flat on back for prolonged periods of time, and my trainer had me switch from sit ups on the floor to using an excercise ball.
MW also said that the bigger you get then consider decreasing the intensity of the workout, so if doing cardio then should only just be breathless and still able to have a conversation, so for example I had to change my routine on the cross trainer etc (I can no longer do 20 odd min on the hardest level). If doing a class tone done the jumping and if using weights obviously be carefull how heavy a weight you lift.
Her final bit of advice wa if you don't feel well or feel uncomfortable then stop.
I have had no negative comments at the gym but I am often there udring quiet times howevre MIL thinks I should stop (she doesn't say so directly just little things liek you don't need to do that now, i am just putting it down to concern and carrying on anyway).