After reading your post I think that you guys are on the right track as far as expressing your feelings and needs to each other and it sounds like you communicate well, which is key to a successful poly relationship. I do, however, feel like you have placed a hurdle or two in your path with your approach toward building this new relationship. That twinge of jealousy and feelings of possessiveness are normal- it's part of the old mono-oriented you - the best advice I can give here is trust in your relationship with your fiancÚ. Without absolute trust that he is committed to you 100% you will fight these feelings indefinitely. You simply cannot compare your relationship with him to his relationship with anyone else- you will likely find something to dwell on that you feel is unfair. Trust in a poly relationship is paramount.
I also feel that whomever you choose to be the other partner in your relationship should be a choice made by both of you and should be made together along with this other person. Having gone out and selected another woman, fostered a relationship with her and then add you to this new relationship is quite the wrong approach in my opinion- I could be wrong- I only speak from my own experiences... In order to be a successful triad there must be a loving bond between yourself and this new individual as well and that cannot be made to happen. Of course, there are really no wrong answers to the state in which you decide to place your relationship with your fiancÚ. If you do not desire a bond with this other individual and are ok with his feelings toward the other woman then that is the right choice for you guys- maybe he has his relationship with her, you have your relationship with him, and what if you were to have a relationship with another man that you are connected to? The possibilities are up to you- by denfinition polyamory is love amongst many not necessarily or strictly triads, quads, or V's...
I do wish you the very best of luck and hope that each of you find what you are looking for.
All the best