You are most certainly not the bad one in this. Don't ever allow anyone to make you feel guilty for spending time with other people. You have different connections that mean something to you, and they all deserve attention.You're just doing the right thing by spreading the love and being with people you care about.

As far as what to do with your fiance, I agree with kaliope. Even though you might think they are, her insecurities aren't your responsibility. There are some clear issues here that need to be resolved, and until they are, the dynamics of your relationship aren't going to change. Maybe you two could go to couple's therapy and sort these problems out together. If she knows that you're there to support her with her difficulties, she'll find it easier to "let go," so to speak, and allow you to do things without her. Who knows? Maybe she'll eventually want to go with you.

Whatever happens, I wish you the best of luck.