Wow. This is a tough one for sure. I would hope some veteran with experience with these types of V relationships would step forward, as I don't have a lot to offer. I will say that I can sort of understand the BF's resistance to the change that you and fiance are undergoing. BF seemed to be sort of comfortable with the status quo, and fiance challenged that by wanting to ease him out of the bedroom. No one likes to feel excluded, and that's probably what is eating at him, regardless of how "asexual" you may feel he is.
Because you're getting married, your wishes and those of your fiance would seem to take precedence. That doesn't mean you need to dispose of BF, but it seems you could have some frank and honest discussions with BF about wanting to make the bedroom a place for you two only. You can make some other concessions, like maybe invite him in occassionally, or let him watch every now and again. If you're totally against that kind of thing, though, you're going to have to be very gentle with him to avoid totally destroying his ego.
I do feel for you guys in this tough situation.