Uh, tell your husband this is an IQ test... How many times should your diamond fall out before you acknowledge that the present course/action is not working? Lady Luck has been very kind to you, in letting you find the diamonds thus far... But I hear luck can turn...
Nooooo, I lost a teeny-tiny little diamond in the band once, but that was replaced for less than $100. I've NEVER had a problem with the setting/prongs. (Perhaps your stone's cut is not the ideal shape for the setting you chose? Maybe its stressing the prongs, little by little, and loosening them until the stone falls out?)
I should also mention that, unlike most women, I chose not to wear my diamond ring all the time... I don't wear it to wash dishes, I don't wear it in the shower or when bathing my daughter, I don't wear it while doing housework or when using cleansers. I have a gold band that I wear when 'dressing down' or when exercising.
Sounds to me like you need a new setting... Let's put it into perspective: A new diamond costs several thousand dollars to replace... A new setting cost a couple hundred. Gold is one of the softest metals--although you did not say what your ring is made of (gold, white gold, platinum)? Some other aspects to consider is 1.) how many times have you had it sized? My jeweler told me, while I was pregnant and my fingers swelled, that it was better for the integrity of the ring not to resize it every time my fingers changed size; and 2.) since you mention that you are pregnant, is your ring finger swelling and creating additional pressure on the ring/setting, which might be contributing to the prongs loosening?
You can also consider getting 6 prongs for your setting instead of the typical 4. This will help hold it in better. You might not like the look as much, but it is a cheap solution while you and your husband decide whether to replace the entire band or setting.
If it was me, I'd be too nervous to wear my ring until the setting was replaced. Good luck!