I've always wanted to know the answer to this and could never find any information about it! I would love to hear the official advice of authors like Making Babies -- I'm sure they've gotten the question before!
Anecdotally, in my first pregnancy ever, B6 was the only fertility supplement I was taking, and I was worried about the risks at the high level I'd read to take for fertility. So I stopped taking it when I found out I was pregnant, and miscarried a few days later at 5 1/2 weeks. It could have been sheer coincidence, but I was highly suspicious.
The second time, I kept taking B6 until near the end of the first trimester, and gave birth to my DD.
Third pregnancy, I kept taking it and miscarried much later, about 10 1/2 weeks. I assumed that miscarriage was for some other reason not related to B6.
Fourth pregnancy, I kept taking it until near the end of the first trimester. At the moment I'm 20 weeks pregnant and that tadpole is wiggling away in there!
Again, one person's experience is not a research study, so who knows! But I personally wouldn't stop taking B6 as soon as you get a BFP -- especially if you know/suspect that short luteal phase / low progesterone is one of your problems.