I would let her know just in case she is using a chemical she shouldn't be using on you since you are pregnant. I know some are safe to use and some possibly aren't especially given the amount that is being used.
It wouldn't hurt to tell them, but as long as you're in a well ventilated room, coloring your hair is no danger to you or the baby. Better safe than sorry I suppose. This may be a question better suited for your doctor instead of a wedding planning forum.
Yes. If you are getting your hair colored your stylist needs to know if there are chemicals to avoid. You can even say you think you might be pregnant if you don't want to give it away but want to make sure you are keeping you and baby safe.