This is going to depend entirely on the mares and the classes you want to show them in.
Maiden mares usually do not "show" their pregnancy as much as experienced broodmares.
Rumor has it that one of the top open mares at Nationals a couple years ago was in foal without anyone realizing it. As the rumor went, she foaled something like a month later. (Don't know if that's true or not.)
I have. In 2006, I showed my pinto shetland mare to a World championship at 4 months gestation. Again, this year, I'm taking another mare that is currently being bred to the World show as well. It totally depends on the mental state of the mare. Easy going mares do better.
I had a friend that showed her mini mare at open shows/EQ team shows with her maybe 4-6 months along, she always looked good pregnant or not though! She just looked a little out of shape.
But, then again you have people who show geldings that look like they are about to give birth!
(we have a morgan gelding who is 16 hands and 1300 lbs. He trims up nicely around 1150-1200.
But, when we first bring him out of the pasture in the spring, he's quite large! And, I had to show him like that before. We were in the ribbons in hand and riding classes alike!
I would show a pregnant mare, but that's because I go to fun shows, not rated shows that have huge entry fees where I would want to win. I'm going to be breeding my quarter horse mare to keep her out of heat during show season (and to get a nice little reiner baby that I've always wanted!) so she'll be prego.