Does he fvck his sister? Wowzer!
Ha, you're putting far too much emphasis on the "I was like a sister to him" aspect. It's just that he has no romantic feelings for you. Most guys will screw a willing partner if she's half decent looking and willing to accommodate.... Hell even if she's only a quarter half decent looking but is up on her hygiene he'll have her sexually... Doesn't mean they'd want to be in a romantic relationship with them though.
You say you never had sex but did you blow him or give him hand jobs? Did he give you face or hand jobs? That's sexual action and you say you were FWBenefits so I'll assume the answer to that is yes. A means to an orgasm is still sex... it's just not intercourse so why are you wondering about intercourse and why he wondered why you never had it?
You have self-esteem issues and you're addicted to him. You owe it to your fiancé to cut it the fvck out with this guy and go cold turkey withdrawl from your addiction to him. If you can't do the mental work you need to do to stop being foolish and obsessive then break up with your fiancé and leave him to find someone who isn't foolish and obsessive over someone who didn't even like them enough to date or be seen with in a romantic way with but he'd let her blow him. Jeezus... love yourself more then you are.
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BTW: Just because he asked why you guys never had intercourse, it doesn't mean he wanted to "so badly." It just means he was curious why you wouldn't let him in you.
“The willingness to accept responsibility for one’s own life is the source from which self-respect springs.” ~Joan Didion