I don't think she told him that I'm the stalker, because he seemed friendly enough the one time he showed up to introduce himself. Of course, he is probably lying, too, since he lied about them being engaged. There's no ring, and she's planning to leave him, whether or not I'm in the picture. That doesn't sound like an engagement.
As for why he was at the gym, he was checking up on her and happened to see me. The problem there is that she should be working out at some other gym in that chain, but she's working out at the one near my workplace in hopes of running into me more often.