Sorry you are going through this. You know, being friends with an ex really depends on the situation. If you feel threatened, then you need to either find a way to gain comfort or to ask him to stop seeing her. Understand though, that if he has a long term friendship with her and she is a long ago ex,they probably would have gotten back together by now if they still have it for each other. If she's a recent ex, and not really a friend, that's different. In any event, you need to keep in mind that he asked you, not her, to marry him.
I am going to a wedding at Leonard's on Oct. 22nd; I can give you a full report if you'd like.