I cant say I've ever shopped with a male colleague, but male mates, yes. But if a colleague did suggest it I wouldn't think 'no! Your poor wife!' as someone with zero sexual agenda with any colleague, it wouldnt even cross my mind that this would be some kind of betrayal.
Yes, partners may often shop together but i dont see this as sexual or any deep intimacy that only a couple can share.
I don't get what is so scary about it though, we are talking mens feet... I know we all have our kinks but I dont think this will get many juices flowing for many women? Hairy feet, smelly socks, holes in socks, just feet in general.
Unless you are worried that if he's got big feet she will think of that cheesy, 'big feet big knob' innuendo. Shoe shopping is such a bland, non activity to me. Maybe she has great shoe taste?
Also i cant think why he would be telling you hes doing this if it was anything untoward, not impossible, but surely more likely to lie/hide it?
So he actually didnt say you couldn't come, he said you could? If they are catching up then i am sure they will stop for coffee at some point, you being there changes the dynamic completely of a catch up! I love my partner but if i haven't seen an old work collegue in ages him being there woukd just hinder things and possibly make friend uncomfortable. What if she wants to ask his advice on a difficult colleague they know?
Unless you have quite a few other reasons not to trust him, then i find this high suspicion of shoe shopping a bit too much.