Yes, by all means tell the CO if a pregnancy happens - you're definitely allowed to add to the family while the application is in progress.
Your child will be entitled to NZ citizenship. If you register him/her
https://www.govt.nz/browse/citizensh...born-overseas/, even if born abroad, you won't have any problems with visas, even if s/he is born before you travel.
And yes, as a PR (or ordinary Resident, actually) you will be entitled to the full range of health care on the same terms as NZ nationals.
http://www.health.govt.nz/new-zealan...land-residents Actually, even if you weren't going to be entitled in your own right, as your husband is a NZ citizen, and as the child to come will be a NZ citizen, you would be entitled in his/her right.
http://www.health.govt.nz/new-zealan...nancy-services