That comment in italics is meant to apply to the entire Pregnancy block of settings, not the one it immediately follows.
I believe the exception you want to set on Sim Options for a sim who has become pregnant while you are playing them, so that they stay pregnant after the household is no longer active, is Sim Options > Pregnancy: Allow Can Be Pregnant > True.
If the pregnancy is to be continued when the household becomes inactive, and it is not terminated, again MasterController is required to stall the pregnancy or else you will miss the birth. Unless you want the pregnancy to be terminated so that you do not miss the birth, because then there would be nothing to miss?
The other perhaps simpler way to approach this is just not rotate out of a household where any sims are pregnant; extend your rotation and wait for the birth(s) to happen. Pregnancies in my game are 7 sim days long so that would be really inconvenient for me if conception happened near the end of my rotation cycle, but I could see feeling differently if pregnancies were the standard 3 day length.