Currently legally married is something that should be disclosed *before* the first date. Some people won't care, but for a lot of people it's a walk out of the date as soon as you find out deal-breaker, even when it's the 'Well, we're still married on paper, but the marriage is totally over, I promise' variety. I wouldn't go on a first date with someone who was legally married, no matter the circumstances, other people are free to if they want.
Children (including non custodial) and previous marriages should be brought up during the 'getting to know you' phase, when you're going on dates, but before becoming exclusive/established. Also in the 'need to know before getting too serious' category are sexual orientation and gender, mental illnesses and addiction (current or past), and criminal records. STD status should be revealed before becoming intimate (and while ripping each other's clothes off does not count as 'before'). These are all major things that can seriously affect a relationship, and may be deal breakers, or at least deal changers, for many people.
And I don't think "you didn't ask" is a good excuse. If that's the reason for not telling about a previous marriage even though they are engaged, I think it would be good to put the engagement on hold while you come up with a list of other things that you haven't asked about but may be important.