Interesting it would warn that as pregnenolone is made from cholesterol.
Just found some info which suggests preg. may lower 'good' cholesterol levels, raising the risk of heart disease. So if you're HDL is low already, preg. supplementation could lower it further:

http://www.cancer.org/treatment/treatmentsandsideeffects/complementaryandalte...


"Very little is known about the safety of the supplements or the effects of long-term use. Some laboratory studies in cancer cells and animals have suggested that pregnenolone may stimulate the growth of hormone-responsive cancers such as prostate and breast cancer. The body uses pregnenolone to make steroid hormones such as DHEA and testosterone. High doses may cause aggressiveness, irritability, trouble sleeping, and the growth of body or facial hair on women. It also may stop menstruation and lower the levels of HDL, or "good," cholesterol, which could raise the risk of heart disease. Other possible side effects include acne, heart rhythm problems, liver problems, loss of hair from the scalp, and oily skin.

Little is known about drug interactions, although some studies suggest it may interfere with the action of certain sleeping medicines or calming medicines (benzodiazepines). Always tell your doctor and pharmacist about any supplements or herbs you are taking.

Women who are pregnant or breastfeeding should not use pregnenolone. Relying on this type of treatment alone and avoiding or delaying conventional medical care for cancer may have serious health consequences."