I will strongly recommend you (your spouse) to inform your A-kasse about any event (like pregnancy) that can influence your spouses availabilty for labour market.
There is no need to wait to inform the A-kasse. When you receive Unemployment benefits you are obliged to tell the A-kasse any changes in the life situation that can influence the ability to work full time. The A-kasse will soon or later find out anyway, and if you have been hiding relevant information for the A-kasse it can in worst case mean that you must pay back money and maybe also a fine to the A-kasse.
However pregnancy does not mean that your spouse can not continue receiving Unemployment benefits ("dagpenge").
But when she will go on maternity leave she will no longer receive benefits from the A-kasse, but instead from "Udbetaling Danmark". While she is on maternity leave she will receive "maternity allowance".
You/Your spouse must in good time before she take maternity leave, inform the A-kasse about that. The A-kasse will then contact "Udbetaling Danmark" and tell them that your spouse will go on maternity leave.
But all this will the A-kasse help you with after you have contactet them.
So please contact the A-kasse and inform about the situation, then they will tell you exactly about your rights.
Rights and obligations regarding receiving benefits during pregnancy and maternity leave can be found in "barselsloven" (the law, only in danish):