I'd talk to them alone, that way they will be free to be honest with you, and you with them without any negative feelings side-tracking the conversation, and without the others feeling attacked.
Your daughter is scared. She may like your partner, but Mum's boyfriend is a very different beast to Mum's live in partner. You don't mention whether or not your ex is still part of your children's lives, but it may be that your daughter secretly hopes, just a bit, that a miracle will occur and you'll get back together. I only say this because when DP and I blended our families, his middle girl (who was 8 at the time) begged him to get back together with her Mum, despite liking me, and despite knowing that her parents were better apart and living together had made them both miserable. Us moving in together was concrete proof that the dream of "happily ever after with Mum and Dad" was never going to happen, even though they'd been separated for years, and I was not his first girlfriend after the separation.
She will also need reassurance that your partner is NOT going replace her Dad, ever.
Yes, it will change your dynamic, your daughter is right about that, BUT you need to help her see it doesn't have to change it for the worse. You will have to make an effort to reassure her on that. Point out all the benefits/good stuff/things to look forward to. Make time for just the 3 of you. Make time for just you and your daughter.
I also think Firefliess suggestion is a good one. If your partner and you are on the same page from day 1 as to how you will parent etc, then that will save a truck load of grief further down the line.
Good luck!