My charitable explanation is that it is hard for parents to let go, and marriage is leaving them for this stranger. It is a last effort to control and as you describe it sounds like that it is also useless and your fiance agrees. I don't think it would help to rub in that they aren't going to be making decisions like that for you but if you can find a nicer way to say your mind is made up, that's the way to go.
My charitable explanation is that it is hard for parents to let go, and marriage is leaving them for this stranger. It is a last effort to control and as you describe it sounds like that it is also useless and your fiance agrees. I don't think it would help to rub in that they aren't going to be making decisions like that for you but if you can find a nicer way to say your mind is made up, that's the way to go.