I personally feel each one to his own business. If what he did put you off moraly then hey chat to him and tell him he put you in a difficult situation.
If you are really against what he did then you don't need his friendship.
But... (you knew it was coming hey)

I would decide whether his friendship is worth losing over this and if you are comfortable being somewhat responsible for breaking up his relationship if it came to that. I know he did the act, but hey you opened your mouth because you said you wanted it to come out. One of my married friends is screwing around and I am good friends with him and his wife. They have two kids and he openly tells me of his escapades. Now, I feel really ***** for his wife and kids and wish I could tell them, but how is that going to make me happy when they split up? Yes he will be to blame because he did it but get my point? I have kept quiet now for a few years and the kids are happy and they also seem happy. He just likes it on the side and believe me I don't condone it and have told him so already but as a friend, that's all I feel comfortable doing.
So it's all personal I believe, no one can tell you what to do. I just happen to like his friendship and what he does in his personal life, why should I intervene to the extend that I could break them up?
I know I'm going to get flamed for this