He may not have volunteered dad and OW because he think of them as a separate part of his life.

Thank goodness OW seems to be nice to your son - it’d be terrible if she wasn’t.

As for the preschool behavior - it concerns me that he said he’s sad. Did you ask him why?

He could just be tired, or hungry - I’d be curious if this happens more in days that ex has had him before school. Something to keep an eye on.