You feel sadness because his new feelings don't prevent your old feelings for still being there. When you love someone and they don't love you back, it hurts. When you had a family planned and suddenly he leaves you in the lurch with no support, it's scary and even more hurtful. I think your feelings are not only understandable but expected in this situation. It's what you choose to do from here on that matters. It doesn't feel like it, but things will get better for you.

The thing I would be concerned with right now is custody. He wants your daughter who hasn't even been born yet. I'd address these things ahead of time, since I would have trouble trusting someone who has shown the kind of immaturity he has to raise a baby. I really would contact a lawyer and see what your options are.