Not saying there wouldn't be a benefit from an evaluation for anxiety but this sounds very normal. My daughter always wanted to know what was going to happen. Thankfully she was reading so with the posted schedule and routine, she could predict what was going to happen.
Also, the fears emerge at four - developmentally normal. What's going to happen..., monsters, dark, on and on. That shows she has an active imagination and aware of separating from you.
Too, never underestimate (you called it) how perceptive those little beings are. With your being pregnant, she senses even more change.
I think she just craves normalcy, predictability, consistency, in school and out. I do question the teacher's use of the word anxiety when it could be adjustment, concerns, etc.
I would also be careful of your use of the word "traumatic" for her. Is it truly traumatic? Or is it still new with a lot of other newness that she's picking up on?