@nikki8613,
I imagine that your fiancé adores his children right? When he is home 2 weeks of the month, he lives with you and the children are there too right? So, the little time he gets outside of all of this to have this "affair" could it be to ensure that he gets to see his children? As, in that is the motivation?
If he wanted to stay married to her he still would be, or living with her, yet he set a wedding date with you.
The real questions to me are... Is he being a fool, instead of going down the legal path, so that he can see his kids.
And, is he the sort of guy that can settle down, understands what constitutes a relationship or is he more of a drifter, working away for money, 2 weeks on, 2 weeks of and has done for some time, therefore, used to also being a bachelor.