The main concern with wearing high heels while pregnant is the risk of falling and injuring the mother and/or the unborn baby. Heel-associated falls are a real risk when not pregnant, so the risk exists with pregnancy.
Toe jam is common non-medical term used to describe the 'gunk' that accumulates between the toes. Not all toe jam is the same, however -- and it can result in serious medical issues for some and should not be neglected.