@f4ntasy774,
I don't get something. You have written several times that you were raised with a religious background and because of that you believe in forgiveness and trying to work things out. I get that. I understand that. But "working it out" requires the effort of two people. As others have said, he does not seem to want to "work it out." He seems to want to continue to do just what he is doing.
Again, your problem is not with the other women. (It might be with them if they 1, knew he was in a relationship with you before they began seeing him and 2, if they were pursuing him. Problem is that he is the one doing the pursuing.)
So, to answer your original question, you shouldn't say anything to the other women. You need to sit this guy down and talk to him. Others have told you this but you seem to believe that approaching them will solve your problem. It will not because there will always be someone new for him unless the two of you deal with this issue.