My cousin messaged me with the same question last year. "Do all Preg mares start shedding earlier" ?
Her mare Ruby, was indeed pregnant at the time ( which we knew) , however as she was shedding even before spring arrived.
I asked my vet and she said not all preg mares shed earlier , but quite a few do. She doesn't believe its entirely a "pregnancy" thing ( and only because its not medically proven to be that)
However, from the pregnant mares she deals with , she has noticed "most" start to drop coats earlier.