I would talk to him… you need to tell him how you feel. It’s up to you on whether you want to continue the relationship… it can be hard after trust is broken but if you both work for it then anything can happen. Him cheating is not okay & should not be tolerated and I would tell him after going back and forth about it you aren’t comfortable with an open relationship either. He’s your fiancée, he should be yours and only yours.
Please don’t marry a cheater! You are in love with what you think he is and what you want him to be. You now know he isn’t that person.