Iron transfusion during pregnancy?

FTM here just got a call from my doctor that I’m severely anemic and need an iron infusion. I’m 28 weeks but probably won’t be able to get in until about 30 weeks. My doctor said she needs to speak with me about the pros and cons before getting the infusion. Is there any risks involved for baby if you’re anemic or from the infusion itself? I haven’t been having any iron supps this whole pregnancy as my last results were good my doctor said I don’t need it but now I feel like I should have just taken it😭 I’ll be sure to go on some supps now prior to the infusion.