Its a bug. There is currently no reliable way for them to be ok with it if you have their consent (except sometimes randomly), and I think the "sometimes randomly" happens specificaly when you DONT have consent. You can easily edit them to be ok with the baby by editing save files. Open the save file (go to your saves ingame and choose "Open Folder" to easily find their location) in Notepad++ or something similar, then find the slave by searching their first name and from their name find the next instance of "wantedpregnancy" . Change "wantedpregnancy":false to "wantedpregnancy":true AFTER they become pregnant. If you try to do it before, the bug will overwrite it back to false. A bit tedious, but it works as a workaround untill Aric gets us the next version that hopefuly fixes this and the balloonlike expansion of breasts.