I don't think the question of "should you be worried" is really answerable. Your feelings are your feelings. I think it's totally understandable that you find the whole situation upsetting.
As to how you can bring it up, just talk about it calmly at a time when you're both rested and in a good mood. Don't try to approach potentially hard discussions when you're under time pressure, like right before someone has to leave for work. Use "I statements", like "I feel insecure when I see that you still have love letters from your ex around" or maybe even "I felt judged (or felt that it was unfair, or whatever you feel) when I realized that you keep the same kinds of memories of exes that you insisted I had to shred and burn." Maybe you feel something entirely different. But tell him how you feel. Give him a chance to respond. Try to listen without judging and keep two things in mind:
First, having stuff from an ex doesn't mean you still have romantic feelings for them. You experienced this yourself. You hadn't bothered to purge all photos of your ex because it wasn't a big deal to you. It was also a bit hard to get rid of memories even when the feelings attached weren't about love/longing. That was a part of your life that existed and a person you once loved. You may still think fondly of them in some sense and wish them well, even if you also aren't interested in ever meeting them again. You may not want to erase all trace of that time in your life.
Second, it's okay to say that it was unfair of him to make you give up your memories. I think it was wrong that he expected that of you when he didn't want to do the same. It would be 'fair' if he had to get rid of his love letters too, but it's not a situation where you lose if you decide to treat him with more kindness and understanding in this area then he offered you. Try to work with him to find a solution that makes you both comfortable.
It seems since you just found these items that he hasn't been flaunting them in your face or making you look at them all the time. A hidden item that is never seen or mentioned is about as far from a constant reminder as it can be.
If I was in your shoes, I think it's the double standard that would be nagging at me and upsetting me more than the actual items being in the house. The implication from his past actions that your boyfriend thinks "keeping items = having feelings" could also pretty upsetting in this context, but try to keep in mind that you know for a fact from your own life that this isn't true, and you're still unhappy seeing the love letters. He could have felt the same way when he saw your photos.
I think it would be bordering on cruel to make him throw away the onsie, which is not a relic of his ex, but a reminder of his child that passed away before birth. Even in cases where there's some relief over not having a child (like with an incompatible ex, maybe before being ready to raise a child at all), it's likely that he does have sad or complicated feelings about the fact his potential son or daughter didn't survive to be born. That's totally separate from how he felt about the ex carrying the baby. Even if he didn't seem too affected at the time, that doesn't mean he was 'okay with it' or comfortable with getting rid of the only thing he has left of his child.