Regardless of whether you should or not, you do. This is definitely something you need to talk about and make sure you both agree upon boundaries that need to be placed between him and this female friend. Personally, my husband and I have decided that there are very distinct boundaries for all male-female relationships. If we need to email, text, etc, a person of the opposite gender we usually attach their spouse or one another on the correspondence. We also do not hang out with someone of the opposite gender without the other person along. Boundaries in your relationship might look different, but it needs to be something you both feel comfortable with.