Look at it this way protein powder is just food in a supplement form its quite safe however note some contain many additives and things you just don’t really want to add to your diet unnecessarily. I personally use MRM as its an all natural whey and its free from additives and is very low in calories etc I’m not sponsored by them its just what I like to use.
Where possible its always best to get your protein intake from wholefoods I only use the shakes for before and after workout. Many women find it a life saver during morning sickness because they can’t keep foods down.
Most women who workout whilst pregnant take some kind of protein shake or maybe opt for a more friendly option like vegan kinds. When selecting a protein shake please read the labelling and research all the ingredients.
General rule for clean eating is if you can’t pronounce the ingredients don’t buy it and the fewer the ingredients the better.
Please talk to a nutritionist or your doctor if your really unsure and want to double check as you may have special dietary needs and you may have intolerance to certain ingredients.