"We have such a good time together but a R is about being open and honest, not just spending time in each other's company. I need closeness and I'm not getting that."
Well, neither is he. You aren't open and honest with him. You say over and over that you are afraid, you can't bring yourself to talk to him, etc... etc... etc... So, WHO is it that won't/can't change here? Perhaps it is because you aren't open/honest/direct with him that he feels he has to hide whatever his latest worry is from you. Maybe HE is eggshell walking, trying to guess what is going to set you off, etc... Maybe not. Who knows? But before you start blaming Gabe, remember it keeps two people to keep dancing the old dance.
This whole thing would have gone differently if you were open, honest direct...
"Gabe, thanks for sharing that you are stressed and feeling down and confused. I am too, especially now. It would help me a lot if I could understand what was going on. I'm scared it involves OW again. If so, we can talk about that. When I'm in the dark is when I feel insecure. Whatever else happens with us, lets be open about how things are..."
"Gabe, I'm not OK with OW's number on your phone. I won't be in an R with you while while you still include her in your life."
Try to be direct and honest BEFORE you lose it and go into pouty-poor-me-attention-seeking-accusing-act-out mode.