not necessarily, no. you'll know when you lose it because you'll have this snotty-like mucus on your toilet paper.. sometimes it will have a blood tinge, other times it's whitish/clearish. im still losing pieces of mine every now and then and the doc checks my baby's head at every weekly appt. (im 3 cm and 90% effaced).
If the doctor is actually feeling the baby's head, his fingers are getting into the cervix and this would mean either the mucous plug is gone or is off to one side. My mucous plug left me a week before the cervix even began to open.
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