I agree with EhBeth.
The fact that your fiance is still helping his ex-wife is an admirable thing. This man is who he is, you could appreciate the fact that he is a generous man who does not hold grudges. There is a benefit to being with this kind of man.
I don't think there is anything wrong with your feelings... they are valid. It is good for you to be able to express them. And, if this is really a problem for you, then there is nothing wrong with you breaking up with him. There is a chance that you are not meant to be together.
What I think is wrong is that you are demanding that he change who he is. You can't do this. You don't have the right to do this. And it seems like he has communicated this clearly and responsibly that he is unwilling to change this about himself.
There are examples of good, strong relationships where one or more people are friends with an ex-spouse. Obviously this doesn't always happen, but sometimes it does.
You have every right to walk away if this isn't want you want. But if you are going to be with this man, especially if you are going to marry this man, then you should work on accepting and appreciating who he is.