Like it or not, you're dating a man with a past. People don't just mentally wipe the slate clean when they start dating a new person; if they did, first dates would sound a lot more like the first act of the Bourne Identity. "WHO AM I? WHY ARE WE EATING HERE? DO YOU WANT TO COME BACK TO MY PLACE?!"
This guy was presumably head-over-heels in love with this woman at some point. I don't know how long its been since they split, but odds are there will always be a place in his heart for her, whether that place is a shrine to the good times they shared, or a black pit of anger and resentment. She's there, somewhere, and you need to respect that.
Setting the album to private is a bit disconcerting, but I still wouldn't think anything of it by itself. If he talks about his ex all the time, has contact with her, or problems seem to be cropping up in your relationship related to this issue, then sure, call him out on it. But I wouldn't begrudge someone keeping the memory of an ex around.
As long as he's not rubbing it in your face (which sounds like the opposite of what he's doing), it's something you would be generous and loving to try and understand.