Since you're this concerned, and I do think your concerns are valid, it's a great idea to have this conversation with your OB. Our doctors work for us and we're not innocent bystanders in our care, so questioning and discussing are allowed. I would specifically ask if there are any alternatives that he can prescribe that are safer than Macrobid even if he thinks it's not quite as effective in the short term.
I would also be curious if he thinks your UTI's will remain a persistent condition after delivery. For some people, they stop shortly after pregnancy. For others, it does remain a persistent condition. It sounds like he wants to "knock it out for good" but if you want to take a more gentle approach, you need to let him know.