We've had "Chekhov's implied intercourse" in the shower - which isn't really usual in Brandon's writing, so it has to be meaningful.
I believe it takes several hours or days until fertilization, and weeks for it to be considered a pregnancy - so likely Shallan isn't pregnant yet but will be, and Sja Anat's words just reinforce it.
Of course they've been intimate a lot before that - and for much of the stay in Lasting Integrity they had little else to do, so it's also a possibility that they could have conceived in Shadesmar - which might have interesting effects on the kid.
Of course another way that scene could be meaningful is if Shallan and Adolin won't see each other again - and it's not mutually exclusive.