Sounds like a dream about hiding something. Maybe there's something you want to tell your therapist but are too embarrassed to do so which would explain the cake. The fact that your t picks up the crumbs in the end is the hope that she can fix it.
There is also a hint about being embarrassed about your boyfriend finding out. He leaves at the end. You may be scared of him leaving you if he were to know whatever the cake represents.
About your t being pregnant, that may symbolize the fact that you don't know what her reaction will be. I want to say it's her hiding something from you but I don't know if that fits or not.

If I had this dream, I probably wouldn't tell my t because I'd be too embarrassed but it's totally up to you and what you're comfortable with. As for it actually happening in reality, that's not likely because as part of the whole confidentiality thing they can't come up and start conversations if they see you while out in public. The most she would do in that situation is maybe say hi or smile in greeting, but there usually wouldn't be a conversation.