I think everyone has a different pregnancy experience and some people will be feeling very uncomfortable in the last month or two, and others not so much. I was still exercising the morning I had my son, and while I wasn't comfortable, I could have sat through a shower. I had a shower at 32 weeks and one at 36 weeks, and made it through both just fine.
I think what would have driven me crazy is if I was waiting to do my shopping/nursery setup until after the shower. I had the nesting bug pretty bad and I would have gone insane waiting that long to get everything ready. However, both of my showers were surprises, so DH and I had already purchased and set up all the necessities.
I think people that have late showers just need to plan to do all of their shopping for the essentials (car seat, stroller, place for baby to sleep, initial supply of diapers/wipes, etc.) early on when they're feeling good and can run around town looking for bargains. Leave the "nice to have" or items for older babies on the registry, and worry later about shopping for those items or making exchanges.