I am hoping that if there was a cause for alarm there would have been more done in regards to you iron levels than just saying what your midwife told you, but definitely ask her at your next appointment. Continue doing what you are doing as far as taking your iron and other supplements, but if you are truly concerned then maybe you could contact her before your next appointment to get clarification.
Although I am no expert and do not know your pregnancy history, it is possible that she meant make it though your childbirth "naturally". If your iron levels weren't up to an acceptable level and depending on the amount of blood loss during delivery you might have to have a blood transfusion.
I also had low iron during my third trimester, but everything went fine, matter of fact my labor was 10 times better than my pregnancy