I don't know how to feel...

My SO and his ex had a serious relationship. They were engaged for 6 months and he had EVERYTHING planned. He called it off about a month before the wedding because he found out she was cheating on him. She kept calling him and begging him to take her back. She was saying it didn't mean anything and it was all just a mistake and that she loved him. When he and I got together I asked him to cut all ties with her. I didn't want her in my relationship. He respected that and deleted all the pictures of them from his phone and Facebook (or so I thought).
Last night he asked me to log in to his Facebook to set privacy settings just in case she was trying to see his account from a friends or fake one (due to certain events she had to be blocked). While doing all the privacy stuff of course I was going to set pictures to just friends. And that's when I saw the album of her. He had it blocked so that he was the only one to see it. I don't know how to feel about that. Do I say something? I haven't yet because maybe I'm just overreacting. I want to cry but at the same time want to punch a wall.