Welcome to the world of sheep.
A lot of the answers depend on your personal situation.
I vaccinate my flock as needed - which isn't very often. I also don't know the specific vaccine you are talking about, it might be a name brand or it might be for a problem that is regional. There
should be product information that comes with it or a document on the company website that will talk about sheep and pregnancy. The vet that sells it will also know. If in doubt, wait until after the lambs hatch.
Things I ask when I think about vaccinating.
1. Is the illness prevalent in my area? CAE and Tetanus are both big here, but not many other sheep illnesses. You can find out by talking to other farmers or if in the USA, the
local Extension agency.
a. CAE is transmitted sheep to sheep (or possibly goat to sheep) and the farmer can be the carrier. So I have separate shoes if I go to a working farm that I don't wear on my farm and I sanitize my clothes and hands after visiting another farm. That gets rid of most of the risk.
b. Tetanus is in the soil here so if the sheep is cut, it's easy to get ill from this and it's a nasty way to die. I am careful to keep sharp things out of the pasture and do twice daily health checks on the whole heard. But even still, I don't vaccinate my sheep for this.
2. am I keeping a closed flock or am I buying new sheep or bringing in a ram to breed. A closed flock is not exposed to as many illnesses as an open one. Once you stop bringing in new sheep, there is less need to vaccinate.
3. were they vaccinated as lambs? If not, what is the risk of adverse reaction as adults?
4. how good am I at giving the shots? Puncturing the skin, handling angry sheep, there is a lot that can go wrong, so I usually get someone in to give the shots if I'm doing it on mass. Usually at sheering time.
5. Is there any evidence of this illness in my flock that I need to protect against? Or in the flocks that I inspected when buying sheep?
6. This brings us to the most important bit of advice I got when I first learned how to care for sheep:
When you are new to livestock, don't buy the sheep, buy the shepherd! When we are new to sheep, our eye isn't trained to see problems (there's a reason why the sheep is being sold - if it's a perfect sheep, why get rid of it?) so don't look at the sheep. Look at the shepherd and the farm. Ask the shepherd lots of questions - including many you already think you know
the answer to. If they are reluctant to answer or answer in a way that makes you feel uncomfortable, pass. There are plenty of more sheep in the world.
a. The other element of this, is with the price of the sheep should come mentoring. Usually, for the space of one year, you can ask the shepherd questions (but don't abuse this) when unexpected situations come up. If they care about the sheep they
sell, then they will be happy to do this.
Like any Vaccine, it's a matter of personal choice and weighing risk and benifits. Gathering information is a good step so you can make informed choices for your situation.