Should I be concerned he used to have feelings for this friend of his?

Honestly since he was open and upfront about her I would not worry. But You did go digging so you got what you looking for. But if none of the emails are recent, I see no need to stress. However, the notes do show you that she did not have feelings for him, hence, why he moved on with you. Why he still has the emails, I do not know. Whats done in the dark always comes to light so if he is cheating it will come out on its own. So trust you man.