While there are some variances in what a psychiatrist may be obligated to report, the code of ethics is pretty much universal. While the psychiatrist might have believed the man was low-risk to re-offend, the knowledge that he plans to marry into a family with small girls might change things. In Canada all mental health professionals have an obligation to report if they suspect child abuse is occurring, but potential abuse is more of a grey area. In reality, you cannot charge someone because they have a history of abuse and might do it again.
I agree with Datadog's point about having ducks in a row. There are treatment programs for offenders, which may be why this man was seeing a psychiatrist, but the vast majority do re-offend. That's why they are never to put themselves into a tempting situation.
Another consideration is that his proposed fiance may already know, but if she's swallowed the Jdub Koolaid, she may well believe he's okay and that prayer and meetings and field service can rehabilitate a sex offender. She needs to know, yes, but it may not solve the problem.
Where I lve we have emergency child protection services that work closely with the police. We also have several nonprofit child abuse protection agencies. You likely have something similar, so contacting them might be a good first step to get some guidance.