"After I heard about it, I wanted to save my feelings for the show," the teary-eyed Holly's World star, 31, tells PEOPLE. "I wanted to confront Hef and just get all my feelings out there rather than make a statement."
Madison says she filmed the episode, which is scheduled to air Jan. 29 on E!, so "everybody will know" how she feels about Hefner's upcoming nuptials. The engagement shows a change of heart for Hefner, 84, from whom Madison broke up in 2008 – because he told her he didn't want to tie the knot.
"It was definitely awkward, but good," the former Girls Next Door star says of the episode. "A lot of people congratulated him on Twitter, but for me, it was such a personal thing. I wanted to go there."
And while Madison grew emotional about Hefner's plans to wed Harris, 24, fellow ex Kendra Wilkinson wasn't joining in on the tears.
"I wasn't surprised by it. I knew he was really, really in love," Wilkinson, who married NFL player Hank Baskett in 2009, tells PEOPLE. "When I heard that he officially split from [estranged wife] Kim, I knew that was a sign."
Wilkinson, who married Baskett at the Playboy Mansion, says there are no hard feelings and that Hefner is "a man to marry – a pure gentleman."
"Yeah, his age is his age, and it's a little weird," she says. "It's hard to see when you are on the outside, but easy to see why he's so attractive when you're on the inside."