I actually dont find it that messy in terms of needing to lay down a towel or anything...
I guess it depends on the time in the womens cycle that youre having sex (ie at the beginning will be messier than at the end)
Women are usually affected by the attitude of the man, so if youre ok with it, she is more likely to be to - act like its no big deal. If you find it gross and let her know, youre only gonna make her upset and leave her feeling gross. Keep it to yourself or you will never get it at that time of the month again! Haha.