It does seem like you're jealous, but that's not inherently a bad thing - it's natural to want your S.O to like you better than their other friends.
Your fiance doesn't sound like she has any ulterior motives - she just loves her friends and that's how she displays affection for them. If it bothers you though, I would recommend talking to her about how you feel and why it hurts your feelings so she can see it from your point of view. I don't particularly think anyone is in the wrong in your situation, just a miscommunication.
Either way if I was doing something that made my gf jealous I would want her to tell me because I don't want to accidentally hurt her!