As an instructor it is something I would be wanting to know straight away. I'm 16 wks now and haven't had to change the way I do Body Pump. At the 16 wk mark is generally when pg women are told to stay off their backs - so during the chest track the bench would need to have an incline so you're at more of an angle upwards. And the way you do ab's would also need to be adjusted, but as I said there is no cause for concern until you hit the 15 /16 wk mark.
As for Pilates, you may find alteration to some of the moves may need to occur once the belly starts to show.
The instructor would be wanting to make sure you don't get dizzy, faint and generally feel ok. So out of courtesy to enable them to make sure you're ok during their class, let them know and get them to tell you beforehand should there be any necessary routine changes (once again, this should only be an issue in Pilates when you start to show).
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