Defriending one person does not equate to losing all of one's friends. He may actualy believe that the first would result in the second or he may just be using that as a rationale to keep her involved in his life in some capacity.
As for the appearance of an ex in his friends list, I'm friends with most of my exes, so I don't worry about that sort of thing (and one of Curly's exes popped up on FB, too). As for saying he de-friended her when she's still on his friends list...it may be a FB glitch or he may be lying again. Have him de-friend her again and check to make certain FB reports it done and she doesn't appear on his list. If she then reappears later, it indicates he added her back.
When speaking of various forms of non-monogamy...it ain't poly if you're just fucking around.
While polyamory, open relationships, and swinging are all distinctly different approaches to non-monogamy, they are not mutually exlusive. Folks can, and some do, engage in more than one of them at a time--and it's all good.