Anyone apart of this Study?

I'm not involved in this, but I do know progesterone pessaries are often used to support pregnancy, usually in the earlier stages (and not just in people either!). Basically progesterone acts on the uterus to make it believe its pregnant and act in a way favourable to pregnancy (i.e. not contracting, among other things). It shouldn't affect the baby at all, as its a natural hormone that is already in your body during pregnancy. I've done quite a bit of reading about its effects and I've not seen anything to suggest that elevated levels could harm a fetus in any way. What did the doctor say about it?
You can be pretty sure that if its reached the human clinical trials stage, it's been through fairly rigorous ethical review and deemed to be safe - but ask him/her about it. They should be able to tell you who has reviewed the project and what they said about it.
Ultimately its up to you to be happy to be involved, but ask lots of questions until you feel like you have enough information to make an informed decision. If they want you in their study, they'll take the time to answer them.
Hope that helps a bit