What happens if you get pregnant with Mirena in?

I know it’s supposed to be one of the most reliable methods and you shouldn’t get pregnant, but apparently it happens more than you think because I know multiple people right now who are pregnant when they had a Mirena. I am getting one in a few days and this is concerning to me. I’m not active right now so no chance of pregnancy, but it concerns me for the future. Does it affect the baby? Do they leave it in or remove it? It seems like removing it would be risky. Just curious about this.