Stay out of it. That side of this situation is none of your business. It's their marriage, and you don't know anything except what you read (and you don't have the perspective to interpret that accurately--only your fiancee and the ex know exactly where that was coming from) and what your fiancee tells you. Your business is with your fiancee, not even with the other guy, so you don't need to talk with him, either.
You did a good job of talking with your fiancee and letting her know that you want to work on those issues. Be careful--as you move forward--not to hold this against her. If you're gonna be checking her e-mails and phone, etc. because you don't trust her, then you're setting yourself up for failure. If you are gonna move beyond this, you've got to decide firmly to put this behind you and not let it be in the way. Ask all your questions now and get it out of the way, so you don't feel the need to bring it up again.
Are you actually engaged to be married, or are you just together? I ask because you will need to address her unhappiness and her response to her unhappiness before you're even married. Why is she so unhappy already?
We have different reasons for talking like this with our exes. Maybe he always made her feel beautiful. Maybe he's someone who knew her when and/or who knows her really well. Maybe they've always considered each other "the one that got away".