Mrs. Slade and Mrs. Ansley are not true friends. They are competitors in a devious, envious world of high-class aristocracy. Mrs. Slade, and people like her, are constantly paranoid that others will see them for what they truly are, so they continually belittle others in order to make themselves appear more important, worldly, or glamorous.
In this comment, Mrs. Slade is basically commenting on how Mrs. Ansley hurridly married Horace after she became with child. This was a disastrous situation in the days when this story was written, unlike today when unmarried young women have children out of wedlock and they almost flaunt the accomplishment. In Mrs. Slade's time, being pregnant and unmarried was something to be ashamed of and perhaps even shunned as a result.
Mrs. Slade's comment also is meant to belittle Mrs. Ansley. Mrs. Slade has been jealous of her "friend" since they were girls competing for the same man...Mr. Slade. Her comment illustrates how she admires Mrs. Ansley's daughter and even wishes her own daughter were more like her--vivacious, beautiful, and the "dynamic" life of the party. How is it that such a wonderful girl could be the product of Horace and Mrs. Ansley?
The best line of the whole story is Mrs. Ansley's answer to that question when she answers that her daughter's father is Mr. Slade...conceived that night at the colosseum.
Mrs. Slade is an envious woman, and she is particularly threatened by Mrs. Ansley. She saw Mrs. Ansley as a rival for her fiancee when they were young, and now she sees her as a rival for motherhood. Mrs. Ansley's daughter is bright and out-going; Mrs. Slade's own daughter is withdrawn and not particularly special.
This quote is what's known as a backhanded compliment. While seeming to be complimentary towards Mrs. Ansley and her husband, Mrs. Slade is really insulting her on the grounds of her daughter. She is saying, "oh, you and Horace are really so special I don't see how your daughter could be that." Mrs. Slade is trying to antagonize and undermine her "friend."