Is a pre-wedding henna party, designated for women, considered an unlawful innovation (bid‘ah) that should not be held, and is it permissible for the questioner to hold it after hearing from her fiancé that it is not permissible?

The fundamental principle is that innovation (bid'ah) pertains to matters of worship, not to customary practices. The aforementioned celebration falls under customs, not matters of worship, and is therefore permissible as long as it does not involve anything contrary to Islamic law. If it is free from forbidden elements such as women's immodest display, their intermingling with men, and forbidden musical instruments, then there is no harm in it.