Yeah it's insecurity. From what I understand, she got pregnant quite soon into the relationship. He'd have been training full time for the Olympics after the baby was born in September 2020, and now doing Strictly pretty much full time... So I don't think they've had time to build their relationship, especially with a baby thrown into the mix.
She is also quite young and Katya is almost ten years older and successful in her own right so it'll be intimidating. His girlfriend seems a bit daft but I think a lot of that is insecurity and not feeling like your relationship is solid. However.. I would not be surprised if they split up in the next couple of months.