
Well, as far as I know it's because by the 3rd trimester the uterus hardened after sex and the orgasm contractions may give a false labor contration (called Braxton-Hicks). People who are close to their due date and go into labor after having sex may simply be in the natural process of labor, not necessarily induced by sex.
Here are some of the benefits of sex while pregnant:
Stress relief, improving mood and sleep, easier orgasm, strengthening bond with partner, calory burn and better blood circulation, helps improving the pelvic muscles and that can help ease labor and postpartum recovery, etc.
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This is literally one of my favorite but I really dislike sex scenes with pregnant people in