Was my confession to my fiancé about past sins — including masturbation — correct, and how can I convince him to conceal my secret?

Masturbation is forbidden, whether by inserting a finger into the vagina or otherwise. The fiancé erred by asking about the past and threatening you, just as you erred by disclosing the sin; indeed, it is obligatory to conceal one's own faults, and allusive speech can be used when needed. Your duty is to offer sincere repentance, and remind him that concealing a Muslim's faults is legally required. Increase your supplications for concealment (of faults) in this world and the hereafter.