new relationship exchanges or conversions need transition time. It's just that simple. I can understand if he would by the unexpected news, but would he have been hurt if you already new, or if they had a healthy relationship?
Patience needs to be practiced when dealing with that kind of situation. The other women needs time to figure out things with her past relationship and her new relationship. That "figuring period" is going to happen with or without your husbands' or your consent or support. It would be prudent to channel that emotion towards her into love and and try and help her deal with what she'll be feeling for a while as she goes from him to you guys(or just your husband, i'm not sure)