My husband-to-be just confessed that he had with someone after he met me, should i still marry him?

Ok, its one month away from my wedding date. Everything's already being organizedd. My husband to be just confessed that he had with another woman before we got serious. I have met her before and she seemed to be annoyed at him for some reason or the other (now I know why). I had asked him if he knew why she responded to him like that and he told me then that he didn't know. I gather that she wanted to be the one that he was going to get married to. I told him that we are not yet married, he could call things off with me and go to her. But he still wants to get married to me. He said that his reason for not telling me all about it before is because he wanted to protect my feelings and not hurt me. What should I do now? Accept that he was big enough to confess all this to me before we got married and forgive him or take this as a warning of things to come and reconsider my marriage decision.