You're going to have to start now thinking in terms of being able to parent independently of your STBXH and let him parent independently of you. This means that, as awful as this might sound, you two don't have to be on the same page. You're two different people with equal rights to influence your children's lives. That's a real pain, but that's the set of facts that you're dealing with. (Notice that I'm discussing the facts of what's happening with your family and not the emotions of it. It just gives clarity when you don't cloud it with your hurt, enraged, indignant, confused feelings.) You can disapprove of what he's doing, but you don't have the right to try to force him to do it the way that you would want him to. You should certainly continue to encourage your children to be honest and open with you, but you should also take this time to explain that you and their dad have different views about things and that's why you're not living together...and what happens at his house might be different from what happens at your house, but the two of you still love them very much and will do your best to give them what you think they need. At the heart of it all, that's generally our motive, anyway, to do what we think is best. Their father is even doing what he thinks is best in the long run; it just doesn't jive with what you think is best.
Also, he could be telling your child to keep it from you because he knows that you will be openly and actively displeased with it, and he doesn't want to rub it in your face or deal with your response to it. That's his way of telling her that what happens in his house stays in his house and vice versa, because things are different, now. Where you all shared experiences before, he wants her to be clear that these new experiences with him have nothing to do with their mom. Phrasing it like "our little secret" triggered something in your daughter because of the use of that word. You had specifically told her not to keep "secrets" from you. You should explain to her now that it's not a secret if her dad knows, that you and her dad will work together to make sure that you know what's going on but that she doesn't have to pass along that info. Let him know, too, so he can at least be aware of the system that you are putting into place for her/them. You should make a commitment to yourself that if your child tells you something about her experience at her dad's that you don't necessarily agree with, you will not use it against him. Again, he has the right to influence his children's lives, just as much as you do. This way, she can share openly with you (if that's what you want) without the risk of violating the sanctity of their father's home. Your home is established, for the most part in their minds. He's trying to establish his. When they get more comfortable there and feel more at home there, they will tell you less because it'll be home, too. They will reach a point where they will understand that mom and dad don't automaticaly know the same stuff. Until then, just recognize that each household is trying to figure out the best way to handle it.
Get your children some therapy. Get yourself some therapy--not the kind that will push you to take him for all he's got and what you think you deserve.
I'm not saying that he's perfect and you should let him off the hook so easily. I'm saying that it's not your hook that he should be hanging on. As painful as this is, your business with him is to make sure that he commits to caring for his children. Period. Let him go off and live his life. We all get what we give, and you can never truly "pay him back" for what you think that he's done to you and your family, anyway. You'll get what's yours; he'll get what's his; and your babies will get what you each give them. Neither is more or less invaluable, for there is something to be learned in every experience. You can't dictate your children's lessons.
Take good care. I know that you are struggling with this one, and I feel for you.