I pretty much agree with what everyone else has said with the addition of:
There's a chance you fiance may be more okay than you think. My husband had a string of affairs for a lot of reasons, but the last one he fell in love with. He chose to lie and hide it b/c he thought I would be hurt and end things.
I welcomed her with open arms and looked at him like he was crazy when he didn't think it was possible to love two people.
Our issues came when I found out about the lies and deciet, not the love he had for someone else.
Also a religion and lifetime ago, I was studying to be a minister in the presbyterian church. It all depends on your beliefs and church docterine and all. Some say polyamory is allowed, that Jesus humself was polyamorus. Some say you should only love and be with the one you marry. Like any other religion it is all interpretation. Not that you can't that you shouldn't love anyone else. But something I learned back then, is that humans tend to create roles for their deities to act as some form of conscience. You feel you are being tested and are failing the test b/c something in you feels this whole mess is wrong.
Time to figure yourself out and decide what you feel is wrong and what you want to do about it.
This has to be a personal decision based on personal beliefs. But entering into a marriage with this much deciet already will only lead to bad things down the road.
I see nothing wrong with loving and being with more than one person. I see plenty wrong with lieing, hiding things and making decisions for your soon to be spouse about his life without informing him.