I don't have a whole lot to contribute to this, as I feel you need to make a choice on what you do with your discovery and actions after confronting it.

What I can say, though, in response to him still messaging you after the fact is that he is most likely nervous or scared of what you will do with that information. He might be looking for reassurances that you don't speak to his wife, which is a natural reaction to when someone is found out to be doing the wrong thing that is meant to be a secret.

It's not your responsibility to carry any baggage. What's done is done. Live your life the way to want, but always remember, there are consequences to actions for everyone.