It's ok for him to go to his parents to get advice at this stage of courting, but it is not right for him to go to them once you're married and get them entirely involved in how your marriage is doing. That's what marriage counselors (sp?), pastors, neutral couples (as you said) are for once you're MARRIED!
However, it is an issue if he goes and talks to his parents about it, but doesn't talk to you about it. Remember that if he's going to his parents to sort of clear his head and put the situation out in the air, then maybe he's just looking for a way to clear his head and realize what he's thinking. He's probably wise to do that because that way he doesn't go to you trying to express his emotions before he's really had a chance to process them, and some people have to process emotions by speaking them out with someone.
I would be concerned if he's getting his parents involved to the point that they're the ones bringing his issues to you, or talking to you about his issues. I would also be concerned if he doesn't talk about it at all with you but just leaves it at just talking to his parents (unless the conclusion he comes to is that he's over reacting, not really that concerned about it, he's wrong about it, etc etc etc) But remember there's another component, he has to learn to speak to you directly about things. And if he's taking ALL issues to them and not giving you a chance to work with him directly EVER, then I would also be concerned about it.
Too many details to this story for anyone to say clear cut "wrong or right", so that's my interpretation of it. I would say talking to him is the way you need to work this out. Get to know what he really feels he's doing by this. If he's not speaking to you about it, then why? Why is he not trusting you entirely about his emotions? That's a bad way to go into a marriage. You need open lines of communication if you plan to get engaged, married, and live together and share everything. You can't share everything but your emotions, it doesn't work that way!