Well, look at the silver lining here. If he's open to getting help (he went on his own? How many guys do that?), then surely he would be open to attending some kind of couples counseling with you. Would you consider that?

I'm not really sure why his getting help upset you so much? If it helps him be a better man and fiancé/husband...sounds like he cares enough about you that he actually asked for some help. I can't comment on the cheating, nor am I taking his side, but would you consider couples counseling to help you both? Marriage is a huge step.

Oops, didn't see your update til I had posted, sorry..