you would know of your water broke, you would have stuff floating around in your bath. plus, the sudden gush from your belly would be more than noticeable. and if your water breaks and it is a slow leak, you will notice once you get out of the bath.

My midwife said that it would actually help speed up labor to take a bath

I mean I know it can grow back but with you being, 36wks I wouldn't risk it. your water could brake and you wouldn't know it