I am madly in love with a colleague at work (I will call him "Nicolas") but he doesn't know I'm alive.  I'm
also engaged to another man.

Hey,
It seems you have quite a dilemma.
You are madly in love with someone who doesn't know you.
And at the same time you are engaged.

Let's start there.
Who are you engaged to, and why? Do you want to marry that person, and spend the rest of your life with that person?  Engagement is usually the first step in the promise to marry, and the commitment to live the rest of your life together. So, given this,,,,

How does this other man, the colleague at work fit in?  You say he doesn't know who you are.  So are madly in love? in lust?  in crush?  in fantasy?

It's hard to have a real relationship or to be truly in love with someone you don't know-- and perhaps even more difficult if they don't know you!

So you have some choices.
Do you put energy into ending your engagement?
That would make sense if you didn't want to marry your fiance.

Do you put energy into introuducing yourself to your work colleague to see if there is any mutuality, or basis for a two way friendship or relationship?

Do you continue your imaginary relationship with your colleague, without seeing if it's real?

Or do you continue being engaged and choose to put your energy into your fiance and your future marriage?

In rereading your question, I realize that you don't seem to have a question.  And as a result, i don't have an answer.  But i have some questions for you to ask yourself, that may help you make some decisions that will ease your mind or set you off on and adventure.  The choices are yours!