My gf is embarrassed to tell her ex fwb that got into a serious relationship with me instead of him

So my current gf 27F had a fwb 33M for about 3 months , he fell in love with her but she didn’t because she was in love with me. ( she and I 32F were also fwb )Her fwb asked her several times to be his gf and she always told her that she didn’t want a serious relationship with anybody. Her fwb kind of had an idea that she was in love with someone else , so he decided to leave her alone because he didn’t want to be with somebody that didn’t feel the same or that were not able to give him a formal relationship, she agreed with him and 1 week later she asked me to be her formal gf and we both decided to be exclusive and so far the relationship between us it’s going pretty good , my problem is that her ex fwb it’s been texting her and telling her that he misses her , which means that he is trying to get back to her , she ignores the messages, never replies or she just leave the messages seen ! I told her that it will be better if she told tell him that she it’s not interesting because now she is in a serious relationship but she confessed me that she feels Really embarrassed to tell him about our serious relationship because they had that conversation many times and she always told him that she didn’t want any relationship but got into one with me ! The point it’s that makes me upset that she doesn’t want to tell him until it gets to the point that he asks or keeps bothering because he just will laugh about the fact that with him no but with other person yes and that all she said was bullshit! Don’t know what to do or tell her when I got I’m upset about it or I don’t understand why she just don’t tell him and that’s it ! Any advice?