I want to sleep in the same bed as my fiancee
Why do you want to sleep in the same bed?
I don't want to leave him and I like him more than anyone else
There should be nothing wrong with wanting to sleep in the same bed as your fiancee. It is normal to do things like this if you are in a relationship. As long as he is fine with it, there is no problem.
I did ask him if he'd like to see what it's like to sleep together, still not to my satisfaction.
If he is not ready yet, then you should wait for him to be ready. Everyone has things the are comfortable with and things they are not comfortable with. Just give him time to come to a decision.