I wish I COULD have known when I was expecting, but routine sonograms were not done then. My kids tried to keep the secret from us, but one let it slip accidentally, the other was very careful, but I guessed, because of a subconscious slip made by one of them (they said something about a certain color not being to their liking for a stroller, and it kind of clinched it), and by the next baby, my kids showed us the sonogram. I see no reason not to know.
The only possible halachic issue that I can ever imagine, is if it would be a concern that knowing the sex of the baby would lead to a parent chas v’sholom wanting to abort, because the baby was the “wrong” gender. In frum circles that should not be a fear at all.