They say that the dye can go into your hair folicals and into your blood stream, exchanging to the baby. However, if you go somewhere like holland n barrets n get that herbal hair dye, that is suppose to be ok.
Normal hair dye maybe too strong for the baby. No use asking the hair dresser or shop assistant, the person you need to ask is your Midwife, after all, if smething happens, you can't take charges out on the hairdresser as they are not qualified to answer such a question.
It boils down to the responsibilty of you passing this via your midwife or Gyn/Obste.