How long have the 2 of you been talking about poly? You say that you need boundaries to be comfortable. What are those boundaries? Have you made them clear to your fiancee? Is he comfortable with them? It sounds to me like the 2 of you need some more time talking things through before embarking on any new relationships.
Could you be comfortable (for now) with the former FWB and your fiancee having online contact only? Would you be more comfortable if (with her permission) he shared the content of those converstions with you? Sorry about all the questions and the lack of any real answers.
Everything will be ok in the end. If it's not ok it's not the end.