There is nothing wrong with you
All you have done is erred in picking a bitch for a friend and a vile, cheating, skanky, whore for a fiancee.
You have not embarrassed yourself. Do not feel ashamed to tell people what they have done and ask for help and support.
Get him out of your house and life. If he threatens suicide it is not your fault or tough as this seems your problem. Call the police tell them he has contacted you saying it and let the professionals deal with it. I bet it is just an emotional threat to keep you in line and he won't really do it.
Get onto all the wedding stuff that is booked. Cancel and get what money back you can.
She is trying to salvage her relationship by confessing from the sounds of it so don't get to involved with detail with her BF. They will cut you out as an embarrassing reminder if they stay together.
Keep any savings you have made towards repairs to your house. Don't discuss sharing his savings with him.
Get yourself to an STI clinic asap.
You are only 22. This is a massive wake up to get out of this relationship as you deserve better than to waste the next 10/20 years on this scum while he screws around.
Hugs.