Good God, that is totally unacceptable. Massively inappropriate behaviour.
Yes, you are obviously taking the right approach. Your DD's emotional and physical health are your responsibility, jointly with her dad - that doesn't stop when she's with him. Ideally you would be able to point out why this isn't a good idea and have him listen (absolutely ideally, you wouldn't even be having the conversation of course, but that's by the by). But if you can't, you have a duty to your DD to go over his head.
Then it's up to a third party to listen to the arguments - and yours are sound. It's bloody common sense not to teach a 5 year old that showering naked with someone you met a short time ago is ok. It is incredibly bad parenting to prioritise trying to manufacture up a new 'family' over those basic safety rules. It goes pretty much without saying that he is going to have a hard time justifying this to a third party.
Very stupid too of the GF to not see this - you imply that the GF has a professional job where she needs a check - quite shocking to see that she didn't have an automatic 'no, not a good idea' reaction herself. She's put herself in an odd position indeed - the likelihood is that of course it's innocent, but the first question a third party might ask is how this came about? It's pretty natural to want to get involved in the parenting, the bedtime and baths. It's another thing entirely to make a conscious decision to share a shower and get naked together with a young child that isn't yours. She's shown incredibly poor judgement.
As for what you do now. One thing that stands out is the aggressive approach of your ex full stop. He refuses to engage with you on parenting issues. He breaches the order. He withholds maintenance.
Basically, he isn't a nice man and he does his best to walk all over you. This is going to continue, for your DD's whole childhood - a constant battle.
In the light of that, I'd find this extra disturbing. Co-parenting clashes are par for the course. Difficult exes too. But when it comes to a genuine belief that the other parent is compromising her welfare?
I would therefore in addition to your solicitor, speak to social services for advice. I think at this point, when you have a genuine question to ask, it would be a good idea to flag up, now, while it's happening, what has happened here and his response to it.
Not only could this give you more weight in court, it would also be potentially quite a useful thing to have on record - as I very much doubt that yet another variation to a court order he seems to delight in breaching will get the message across.
Get it on record.