One reason she didn't know is that she wasn't of high estate before. In best fairy tale style, she's marrying the prince because she rescue him. This is enough of an escape into a magical world of charms and enchantment that they can get away with that easily. (Get away? Revise that. The prince is observing that his father will think her the appropriate bride before they have quite completed the return.)
But it's not so purely escapist that a princess, even a betrothed one, can get away without thinking of her own safety. Especially since she rescued the prince from real fairy-tale problems of suitable nastiness, and I have made a point of how they didn't catch the villains of the piece. Hmm. I shall have to make a point about how strictly they protect her when the baby is due. They know that if the villain isn't caught, and the wedding goes off without a substitute, her first baby is the heroine's next danger point. . . .
There is, after all, only so much story you can situate on Big Rock Candy Mountain. Conflict is the soul of story and needs real constraints, which drags in realism by the heels, even if the realism can be carefully modulated for the setting.