I see it quite often as a labour and delivery nurse. They can often removed the IUD with no adverse effect to the baby. My friend has a 1 year old little boy and had her IUD removed when she was 9 weeks pregnant with him.
My coworker got pregnant with triplets with an IUD! She ended up losing one of the babies, but has 20 year old twins now. Not sure if the loss was related to the IUD.