Did your fiance confess his infidelity to you? Why do you think he confessed? Because he cares about you and wanted you to know, or because he is worried about the news leaking out?
I think compassion and forgiveness is a good thing in most situations. Forgiveness is freeing, and unconditional love has a kind of healing quality. But it can also be stupid; too much kindness, forgiveness and compassion may lead to others walking over you and taking advantage of you.
Only you can find the right balance between these qualities.
If I were you, and I were sure I loved this guy, and could trust him, I'd ask for an apology, ask for assurance that he loves me, and ask that he doesn't betray me again. I'd also make it clear that I need time before fully trusting him, and will need extra work on his part to prove his love.
But I'd also stress that I love and trust him unconditionally - because he will feel guilty and will need assurances from me - even though this is a kind of contradiction. After all, how can you trust someone unconditionally, yet demand time for healing, and extra assurances on his part? That's not true unconditional love!
But you've got to own that contradiction, and be clear to him about it.
This is just my two-cents. I hope things work out for you.
And remember things could be worse. You could be marrying Ketchim.