Ugh. I am in a very similar position right now and I don't know what to do either. Our office always does a cake party when someone has baby or gets married and that person is presented with a (very generous) gift, paid for entirely with company funds, not a collection from the employees. When I got married a few years ago, there was a party for me and some the coworkers I am close to even gave me gifts, which was so nice. Now here we are, three years later and they want to have another party for me before I go on maternity and I just feel so weird about it! Like, come and celebrate AuntMeegs's life choices again at another party for her! The coworkers I am close to say of course no one would think this for a second and if nothing else, its an excuse for everyone to take a break and have some cake! I can't deny everyone cake by refusing the party!!! But I can't hep feeling weird about it becuase I feel like we just had a party in my honor.
I did agree to the party and its not that I don't appreciate it, I really do. So anyway, I don't know if any of that helps you at all, but I totally understand how you feel.