I'm not trying to be mean or rude, but you seem to have an excuse for every idea that people give you.
If you're too anxious to bring it up, then right now is NOT the time to try a polyamorous relationship. Once you get into a more open situation, you're going to have to keep talking and discussing so just getting over the hump of getting your feelings out there isn't going to make everything all better.
Keep up with therapy, keep working on your anxiety, and just try to build a closer and more trusting relationship with your boyfriend/fiance. If you're too afraid to talk to him because he often gets mad/upset/misunderstands, then you're not the only one that needs to work on stuff. Does he realize that you're afraid to talk to him about things because of the way he may react?
Also, if you are pursuing a closer relationship with this woman and NOT being open with your boyfriend, then you are flirting with the boundary of cheating. Even if you aren't being openly romantic, the two of you discussing the idea of a relationship other than friendship without including your SO could easily become an issue if/when he finds out.