You might not like my response but I think he is being very sensible here and I think it might be a good idea to ask him if this is a permanent decision or one he might consider revisiting in time.
In the space of 3 years, you have a new partner, 2 step children, the loss of your own child, the birth of a child, and the loss of his ex partner.
That is more than most relationships endure in a lifetime.
I suspect that he is still dealing with the grief of the loss of the mother of his children (not so much for him directly but more on children's behalf), there is also the loss of your child together which must be devasting for both of you and while the delight of your new baby is a huge positive, it doesn't cancel out the grief of everything else. It's a lot of deal with emotionally for all of you.
If I were him, I think I would be craving a period of stability at the moment. Time for you all to heal, rebuild and enjoy life together as the 5 of you. The grief won't ever go away but there will come a time where it is more manageable.
Perhaps, you too, could benefit from a period of stability to. You have gone from a mum of none to 4 in a very short space of time and the fact one of those children is no longer with you must be devastating.
I'm not saying he will change his mind, in fact, he probably won't but you don't want to leave anyway & also you still have time of your side if you chose differently in a few years. Focus on thoroughly enjoying the family you currently, perhaps have some counselling individually and separately.
Wishing you everything good, you sound like a very caring person, mum and partner.