It sounds to me like you need to talk to him some more about his insecurities about you being able to open up your end as well. It hardly seems fair that he is allowed to have another partner while not being open to the idea of you finding someone else to meet your needs too.
You might also want to talk to him about what you need from him specifically. Let him know what you need to feel loved and secure in your relationship. If monogamy isn't possible from his perspective what compromise can you reach where you are both having your needs met?
You're only a few weeks into a new dynamic. It can take months or years to figure this all out. Be kind to yourself. Let yourself feel whatever it is that you're feeling. Talk and talk and cry and then talk some more.
Everything will be ok in the end. If it's not ok it's not the end.