Yeah you are right AF, and I am taking notes too... Am trying hard not to project, but it's not easy....
You are bang on! The problem IS entirely the DP's problem. IF he were a decent partner he would gently explain to the Ex that it's over and she has to move on, or it would be done in a similar way to turn the page and start afresh with Roxy.
Yes the OW will have been lied to, strung along, encouraged through omission. Roxy's relationship will have been downgraded somehow, portrayed as much less than it really is.
In 2006, when I had left the UK and gone to hell on earth to live with DH, and our 6m old DS, He told her that I was there on a flaming holiday. She then said that she wanted to come over from Colombia and have her holiday.... and pestered him along those lines. Took him over 18m to tell her clearly and bluntly that it wasn't going to happen.
You have a point in saying that Roxy is insecure ..
roxy not talking about you honey, I know you are here... 
She IMVHO is insecure because her position in reality IS insecure, or being portrayed as such, she is quite correct to have feelings of insecurity, because they are wholly justified.
She ought not, btw, to be feeling insecure in herself though. This is none of her doing, she has tried to keep her relationship going, when Dick-Prick-- is hedging his bets.
I'll be willing to bet he IS the kind of guy that comes across as a confident, go-getter, master of all he surveys kind of bloke? Am I right?
You all want to know the funniest thing? I'm willing to bet the farm that he's actually the most insecure and self-doubting bloke you've come across.
Roxy, he is getting off on this, you need to be brave girl, and tell him that enough is enough and he can stop it right now. Tell him to leave until he has told her it's over.
If he doesn't do that, then it's over sooner rather than later and you know where you are.
Stand up for yourself Roxy, if you start off like this, once you are a mum, I promise you, he will see you as hooked, landed and trapped somehow, so he won't have to do anything about it.
Show him you mean business now and there is a chance he will grow up and do the right thing. If you leave it till the baby is here, IME it's unlikely to happen.