B.Q.
I grew up as a step daughter. I can tell you that every weekend with my dad I wanted his undivided attention...no matter who else was there. I had a wonderful loving mother and no need for another woman in my father's life. She was patient and kept trying to be my second mother, which only mad me like her less, but eventually I came to realize that she was part of my father's life and she would always be there. I now have a family of my own and she and I are friends.
I remember she tried to get me involved in the things she was doing, like cooking or gardening or decorating for the new baby. This helped me to understand that she was more than just another person in my father's life, but also a perosn in her own right.
My father did not cater to me the was it sounds like your fiance caters to her daughter. You will need to get him to see the way he is setting up her disrespect for you by not correcting her. I imagine he will see it more once the new little one has arrived, but it is up to you to get him to see if before hand. You might try getting friends to come over for dinner (some of his friends, as he will believe them before hearing your girlfriends). When they see how he/she reacts. Or try an outting with friends, maybe a couple that also has children to see how she acts, this way it will not be you against her or him, but an outside person telling him what they see happening.
Good luck and remember patience, eventually she will grow up enough to have adult conversations.