I don't see a problem with having exes on facebook. I actually think it's pretty healthy to finish relationships on good terms, or at least not hate them for the rest of your life (unless they did something dreadful of course).
I don't have a huge number of exes, but I'm friends with them on facebook, barring one who I genuinely never want to speak to again. I don't spend hours chatting to them or anything, but we do occasionally exchange a few messages to ask how the other is getting on, see how their job is going, etc.
If it really bothered my fiancé then I would delete them out of respect for his feelings, but I would be pretty pissed off that it was such a big deal to him and would certainly tell him how unreasonable he was being.
My fiancé is friends with his long term ex on facebook, but they don't communicate at all (he isn't very active on the site in general), and I'm sure there are a couple of girls he had flings with (I know of one, but sure there are one or two more). It doesn't bother me in the slightest as that was YEARS ago and we have a strong relationship. If he was constantly messaging them or whatever, then I would want to see the sort of thing that they were talking about, and would ask him to show me for peace of mind. If he asked me the same I would be happy to do it with no hard feelings, so I would expect the same in return.
Perhaps you could sit down with him and explain that perhaps asking him to delete these people was a bit melodramatic, and you understand he has a right to a social life (especially if he doesn't get out much). At the same time, you do have concerns with his behaviour - especially around the fact that his chatting seems to be limited to young, pretty girls, and the fact that you've noticed him going downstairs late at night - which is obviously pretty suspicious. Tell him that you would like to see a couple of the conversations that he has been having just to give yourself peace of mind that it's all above board. But make sure he shows you then and there - if he says "sure thing let's do that tomorrow" then he clearly has time to delete anything bad (if there is anything).
I think that this is a very reasonable compromise. He can still chat to his friends, and you have the reassurance that it's all very innocent.
If he refuses to show you then you need to get his reasons why. Because it's private? Well what has he been talking about with these people that he doesn't want you to see? What can he tell them that he can't tell his own girlfriend?