DHA and EPA are long-chain omega-3 fatty acids which cannot be synthesized by the human body and thus must be ingested either through capsules (which is usually fish oil) or through the foods that we eat. They typically are found together and work both in conjunction with each other and independently of each other to support proper neurological, immunological, and cardiovascular development. Since neither DHA or EPA can be created by our bodies on their own, it is VERY easy to become deficient in these omega-3s if you are not consuming it on a regular basis. The most prolific source of DHA/EPA is in fish oil or algae, so unless you are eating either of these two things on a regular basis, you could all ready be deficient.
A woman's stores of DHA/EPA become depleted as the developing fetus begins to use the mother's stored DHA/EPA during its neurological development. Brain development really kicks into high gear in the 3rd trimester (beginning at 28 weeks), so more and more DHA/EPA will be transferred from mother to baby to support brain, eye, immune, and nervous system development. HOWEVER depending on one's diet, it is very easy to be deficient in this nutrient before one even gets pregnant. Like folic acid, it is usually best to begin supplementing before pregnancy so that you can all ready have plenty of stored DHA/EPA/folic acid in place before you actually conceive. Furthermore, breastfeeding will further deplete any stored DHA/EPA you may have as both are known components of human breastmilk so continuing supplementation after birth is important as well.
In terms of cognitive development, the jury's still out as to the effect on the fetus with omega-3 supplementation. By that I mean to say that there is no evidence to suggest that a child's cognitive development is significantly changed by taking a DHA supplement during pregnancy (though it stands to reason that a fetus who was significantly deprived of DHA/EPA during its growth would show delayed cognitive development). And your ob/gyn is correct, the WHO does not currently give a recommendation for marine oil supplementation during pregnancy, but there is some evidence to suggest that DHA can help prolong a pregnancy thus increasing gestational age in the baby.
Americanpregnancy.org recommends that a high-quality DHA/EPA supplement be taken before, throughout, and after pregnancy. Fish oil is the ideal source of this, though algae is also acceptable. So...if you follow those recommendations you should probably start as soon as possible. According to this commentary from the WHO, "Overall, the three meta-analyses show that supplementation with marine oil or n-3 LCPUFA is safe in pregnancy and generally well-tolerated".