Speculation on my part only- no facts to back this up:
Pf moved Kelsey to Colorado to be near him. According to the Daily Mail, they said that the girlfriend from Idaho and PF also started seeing each other around the same time, 2016.
Is is possible that PF wanted a child of his own, but this woman from Idaho either couldn't have any more children or didn't want to get pregnant again, and he used Kelsey to have a baby? He probably thought that Kelsey would want to remain in her career, that once she had the baby, she would not want to stay home and be a full time mother. He may have promised her the moon and back, if she had his child, or maybe he deliberately got her pregnant to have one of his own. This would explain the delay in getting married- he had no intentions of marrying her, he just wanted the baby.
I have a feeling that this woman from Idaho fit in to his life more than Kelsey did. She was into rodeos herself, where as it appears Kelsey wasn't. He may have been in love with this other woman and used Kelsey to get what he wanted, not expecting her to stick around and want to co-parent their child. When Kelsey didn't go away on her own, perhaps the woman from Idaho was getting upset and told him either it's her or me, and he or the two of them planned Kelsey's demise, so that he got full custody of his child and could be with the woman he wanted to be with.
I'm also thinking that his family had to have known this woman- whether they thought she was just a friend or acquaintance, it's hard to say. I just don't see how he could have hidden her and his feelings for her from his family and friends all of this time, especially if she visited Colorado for Thanksgiving this year. Also, wasn't it said that they worked together, possibly at the rodeos? Maybe his family liked this woman and didn't care for Kelsey, hence why none of them showed any concern when she went missing?