I personally wouldn't. Though the basic idea is that it would save you money in the long run, what do you do if the foal is born and there is nothing wrong with it, but doesn't have the confo that you need for your discipline? What if the temperment just isn't right and you don't get along?
I would much rather buy a weanling/yearling (or better yet, an untrained 3 year old) that I can watch and mess with to get an idea of his personality and the way that he travels. With a foal in utero, you never know if you will get what you want.