Yes. It is a pregrant! Congs!
You noe have to leave Australia to receive your visa. You should inform your VO at least one week for him/her to finish some paper works. You aslo should give them at least 3 working days after you leave the country for VO to grant your visa. Then you can go to Aus Embassy Shanghai to have your new PR visa evidenced on your passport.
I am in the similar situation as you, but in Perth.
Good Luck