I have not done Zumba but did intend to exercise all through my last pregnancy (the tiredness put a stop to that) and the advice I was given was:

keep an eye on your heartrate, don't let it get too fast. Check with your GP the safe level and wear an arm heartrate monitor if you need to so you rest if it gets too high.
no situps
no aggressive classes like boxing, as this will flood your baby with adrenaline which will apparently give you an angry child

other than that, Zumba sounds great so have heaps of fun!