Messaging other girls..please help.

I recently went on my boyfriend's phone, clicked his facebook but it opened on his messanger on facebook.. I noticed he messages A LOT of girls. He doesn't say anything that could count as cheating but he's constantly messaging them before he goes to work, or bed, or whenever and the times he's chatting to them he seems to be ignoring me. He's constantly messaging them if they don't message him. 
Is it bad that this bothers me so much? I feel a little uncomfortable and I've told him but he doesn't see the problem at all..  
Also one girl is his "long term friend" who was telling him how lonely she felt and how she hates being single and he kept saying things like "i know how you feel i feel lonely too" but never told me??? He put god knows how many kisses to her and she seems to like him by how she speaks to him. 
I told him how I felt before I saw these messages. I'm 9 weeks pregnant and extremely depressed because I was advised to come off all medication for my depression and anxiety as it could harm my baby. I feel like I shouldn't be blaming myself for him messaging other girls. He should be supporting me. Not them. He should tell ME about our issues..  
I just need help. :(