Yeah, I got a piercing and a tattoo before I realised I was pregnant with my first bub (and ftr I had absolutely NO problems with either of them, both healed fine and baby and I were perfectly healthy), but when I knew later on and asked my piercer about getting a new one, he said he wouldn't have a problem with doing it because he knew I could handle it and that his methods and equipment were as safe as possible, but it was their company's policy to deny pregnant women because of the risk of infection, so I would have to wait.
Essentially, the risk of infection is the same as if you're not pregnant, but then it's a bit like avoiding certain foods because they might have a bacteria that won't hurt you, but will hurt the baby - you stay on the safe side just to be absolutely certain.

It's so hard waiting, I know, I'm a piercing and ink junkie myself and nine months seems like forever when you just want the one little needle!! But then once bub has arrived you can treat yourself to some new metal as a reward for getting through labour - I got my bridge pierced after DD was born, then a big chestpiece (which isn't finished yet, planning that once DD2 arrives at the end of May).