*Hugs*. You have had a lot on your plate lately. Second, kudos to you about using condoms with your guys. That is not easy. And keep trying different brands with Knight until he finds one with enough sensation for ejaculation. I've heard from some men that masturbating with a condom is a good way to train themselves to come with a condom on. (Homework for Knight!)
I am so sorry that the engagement is off. That is hurtful. But here is the part you may not be ready to read. Romeo was being a responsible partner. If he cannot see a clear vision of married life with you (whether poly or not), or feels there are some major issues, then he was right to hit the pause button.
From what you have written, I seriously doubt that he loves you any less, or that he wants to leave you. Bluntly, if that was the case, he would have just left rather than breaking the engagement.
Not using condoms with Knight likely brought some stuff up for Romeo that you and he will have to figure out. It is a betrayal - an unintended one but a betrayal nevertheless. (Been there, done that and got the shitty t-shirt on this one.)
This is where your different styles of handling emotions, issues, may make things more difficult. For example, Beloved is always 10 steps ahead of me emotionally - she's just much faster at knowing what is going with her. So she's scoped out the issue, thought through various solutions, and figured out how to proceed just about the time I've figured out I'm sad. I've discovered that I need space away from her to know what's going in my head. If the issue is a big one, then that means physical space but usually mental or emotional space is enough.
If Romeo is telling you contradictory things, it's possible it's because he is figuring things out as he goes, on the fly, without having enough space to put a full picture together in his head of his concerns. I know when I go through this process it's a unholy mess - not straightforward or coherent in any way - until I get a handle on things. Breaking the engagement may be a Romeo's way to get space.
If this scenario seems plausible to you, and only you and Romeo would know, then you may have to do something very hard and painful. Sit on your emotions, your thoughts, until Romeo has sorted through some things and is ready to begin working through things with you. And this will alllow you to do your own sorting out - it may be helpful to be less emotional when discussing breaking the engagement with him.
I am not suggesting that you never discuss your feelings and emotions about the engagement with Romeo. Do you have someone else you can talk over the pain of ending your engagement? I would not suggest Knight be your confidante about this - he needs to be in the loop - but talking through the engagement issue with the person that inadvertently 'caused' the issue, is awkward at best and potentially really damaging to you, Romeo and Knight.
This is not as coherent as I would have liked. I lost my first version but hopefully it's helpful.