You don't want your heart rate to go too high for too long or to exercise so hard that you get overheated. If you're healthy, you generally shouldn't raise your heart rate over 140 beats per minute while pregnant. You need enough time between beats to get blood to the baby, and as the heart rate goes up you don't squeeze out quite as much blood each time and the blood is not as well oxygenated.
You want to avoid getting too hot for a different reason: There's some concern that if you get overheated during the first trimester, it affects the baby's development; there's a slightly increased risk of problems like the baby's abdominal wall not closing all the way. Plus, as your body diverts blood to your skin to help you cool off; it's taking some of the blood flow away from your baby. It's also harder to cool down when you're pregnant, so if you get overheated, you're more likely to pass out. You'll know you've probably gotten too hot if you break a sweat and continue sweating. To keep this from happening, take frequent breaks and drink a lot of water.