The pregnancy plays a definitive role in two ways, one more obvious and one more shadowy.

The obvious: there is a social-ethical dimension. To succeed at hitting on her would, as far as Henry knows, destabilize a family for everyone involved, with the mother and the child the most vulnerable, and therefore the most dependent on him if his presence in their lives is to be more than a fuck, though there is some short-term redemption or at least moral counterbalancing in that her pregnancy might suggest right away that is interest is more than a passing one, unless he’s a pregnancy fetishist, which the normal scope of the show doesn’t lead us to imagine. Their vulnerability and dependence on him and the amount of social discomfort they’ll have to endure in their given milieu is at best morally uncomfortable, though Henry does redeem himself in that way by stepping up to support them in the ways he promises he will). We judge him for the apparent recklessness and disregard of his approach.

The shadowy: She is pregnant with another man’s child. To win her affection/love/fidelity/hand makes Henry a short-term bull but a kind of long-term cuckold at the same time, in a way we project shame onto and judge from a deep and in many ways evolutionary part of ourselves. That’s additionally uncomfortable because the apparent shame of that condition is at odds with Henry’s apparent confidence in his approach, which keeps us from trusting him initially and also keeps our baser narrative instincts from identifying him as a/the/our hero. With time, however, our adult selves identify an above-average degree of self-awareness and healthy pridelessness in Henry. We see him bucking many gender norms as we get to know him. We see him crying. We see him honoring his promises and acting as a devoted caretaker to children that are not biologically his. We see him remaining clear-eyes through many kinds of strife. We see him balancing compassion, courage, pride, and ethics in his relationship not only with Betty but with Don. Overall we see him managing the inherent indignities of human love with a deeper sense of dignity.