Your boyfriend has repeatedly watched sexual footage of your ex against your wishes and against your ex's consent. This is not okay. Your ex did not consent to have your boyfriend view footage or images of him.

I don't think it's your boyfriend's possible hurt feelings or jealousy you should be worried about. It doesn't matter if he will be "really sad" if you delete these things - you should delete them because it's the ethical and moral thing to do. This isn't fair to your ex nor to you.