Should I be worried about his ex and tell him?

Should you end this now before you get hurt? Sweetheart, it's a little late for that. You're ALREADY going to get hurt, whether you end it now or he ends it later. The best thing you could do is start slowly pulling away from him little by little so that when the end comes, it's less of a blow for you. If you keep up the way you are now, it sounds like you'll go ape sh*t when he cuts you loose.