Please don't put your daughters in the middle. It isn't their job to report to you regarding the goings on with their father. You have been divorced for five years, and if he has been with the same woman all that time, of course his daughters would have met her. Why should they have to run and tell you that?
I don't understand why you would feel betrayed by them. They didn't lie to you, they just didn't tell you everything, and they have that right.