I would be super pissed that he suggested you tell your daughter to go live with dad if she doesn't like it. That is not okay and is pretty much telling your daughter that you are choosing your fiancé over her.
Is moving in together a done deal? Honestly, if he is unwilling to budge on this one small issue, I would be hesitant to move in together right now. I get that he is defensive of his children-this is something ex and I struggled with a lot (I felt like he favored his oldest daughter, my stepdaughter because he felt guilty that he didn't see her all the time, so I in turn became defensive of our younger two). I just think that if he is this defensive about something like this, that might be something you need to work out before you put all the kids together under one roof all the time.
If you do move in together, and if your daughter feels that strongly about sharing her room, and the other girls are willing to go with the flow, I would let her keep her own room for now and see what happens. It's possible that she might realize that a couple days a month feels more like a sleepover than sharing a room. Or she might relax one she gets used to the new family dynamic and be willing to be flexible. Or the other girls will decide they hate sharing a room and you'll have to put your foot down with your daughter, but at least it will hopefully be after she's had time to adjust to the new family dynamics.