I think it was SS of them to ask for a refund. I don't agree that 9 months pregnant women shouldn't go to movies, but they should go with the awareness that labor could happen at any moment. IMO, it's only reasonable to request a refund if missing the movie was the theater's fault in some way. If I had to leave a movie because I became ill, received an emergency call, or some other circumstance far less predictable than going into labor at 9 months pregnant, it would never occur to me that I was entitled to a refund.
Also, for those saying they weren't rude to ask as long as they accepted no for an answer, it seems to me that the manager's reluctance was a pretty clear "no." When he didn't immediately seem inclined to grant the refund, they should have let it go.