I don't want to sound too harsh but the fact you have had sex with your ex and feel no guilt for your fiance means you should not marry this man...I don't think you can do that and have love for him so for his sake...Marriage is not the answer; it doesnt sound to me like that is the right relationship for you.
About your ex...If you love him then usually i'd say go for it...Without a doubt but you got to check if he loves you or if he simply likes having you there for sex or just his ego boost and security....Unfortunatly so many men are like that.
But please do not jus hang on to your fiance in case that falls through cause it isnt fair to use anyone like that