I am 7 weeks pregnant & read that there is horseradish in shrimp cocktail sauce & it can cause a miscarriage, is this true?

Not likely. Horseradish when used in usual dietary quantities will not affect a pregnancy. To induce a miscarriage (ie. Abortion) would require doses of about 4 ounces taken 3 or 4 times a day for 3 or 4 days. Even those doses are not sure to cause a miscarriage.
Yes. Horseradish can cause a miscarriage; in some cultures it is used to cause abortions. There are also toxic chemicals that are excreted in breast milk; so you should not eat horseradish if you plan to breastfeed. Read labels to make certain the item (like shrimp cocktail sauce) does not contain horseradish.