Honestly, it sounds like this is going really well! It is good that you are putting so much thought into it! I got divorced when my son was 4 and like you, we are cordial with my ex and his new wife, but not 'friends'. I also started dating a single man who did not have kids. We took it very slowly and his relationship with my son grew very naturally. We bought a house together 3 years ago and got married last year- my son was 10 and he gave me away and read a poem at the wedding!
As far as the ex goes- just a 'head's up' in case the kids say something about it is really all you need to do. He will most likely say " Well, congratulations, I hope it goes well' or something and that is that.
My MIL and FIL are a little standoffish as people- I was NOT who they were expecting their son to come home with! But they have really tried in their own way to reach out and also have always gotten my son presents, etc. since the 2nd year we dated.
I think you should just go on the way you have begun. If your fiance's family were not comfortable with the situation, they would not be acting the way they are- be happy! It sounds like they are happy for you and their son.
For the 'blending' - if you have not already, talk to your kids, together and individually, about how they feel like this 'new version' of the family should work. You and your fiance need to be absolutely on the same page about things like discipline, talking back, chores, etc. - the kids need to know that your fiancee deserves respect. Hopefully if they are all really fond of him already, they already will respect him too.
but also be sure your fiancee knows that respect is a two-way street and needs to be earned on both sides. He must love your kids as well as you or he would not be taking on 4 of them, lol! Encourage them to do things one-on-one together and don't hesitate to call 'family meetings' if issues come up.
He needs to know that his authority equals yours in the household- and so do the kids! I know that my husband was very hesitant to be the 'overbearing stepfather' and for a while after we moved and bought our house together (my son was 8 at the time) it still felt like all issues with my son were routed through me.
Finally I sat down and told him " I trust your decision making absolutely when it comes to my son. I believe that you and I understand each other and that you will make the correct choices if you need to discipline him or decide what he should eat, etc. He needs to see that I trust you to just do that- so you have my permission to go ahead and BE 'the dad'!"
That really was a huge turning point in our family- now my husband and son go on errands together, do chores together, etc. He has been the one at every parent-teacher conference, school concert, etc. They have established a loving, trusting relationship TOTALLY separate from me- and it is wonderful!
I did not mean to go on so long, but I want to show you that this can REALLY WORK and be the best possible thing for you and your children! Just last week at my son's school, they had to write letters to Santa for their family. My son wrote something about me, then wrote how much his dad loved to watch sports with him and asked Santa to bring him Bears Season Tickets (unlikely, I know, lol).
My ex could care LESS about sports and I saw my husband reading the letter and whispered to my son " Who was that for? Did you write that for your dad?" My son looked surprised and said " No- it's for Phil!" :) I almost started crying, I was so proud and happy.
Good luck and enjoy your 'new' family. It sounds like everything is going to be wonderful for you!!