Hmmmm. I don't know any of the details of your fiance's break-up with his first wife so I couldn't possibly comment as to the sentimental value of the rings (if any). Saving the rings for his son is a nice gesture but he may not want "bad luck" jewelry either, KWIM? having the stone reset is another possibility.
I still have my engagement and wedding rings from my first marriage, and my husband has the diamond and wedding rings he gave his first wife. (Their divorce was acrimonious, she intitiated it, and in anger he took the rings.) To me, it's all just jewelry, but I'm not emotional about things like that and my husband frankly dislikes his first wife too much to get misty-eyed about their history together. I would never wear the actual ring he gave her but I wouldn't have a problem having the stone reset and wearing it.