Should I have asked him not to leave?
We can't tell you whether you should or shouldn't have. That's up to you, how you feel, how you feel about the impact of him staying or going on the DCs.
Right now it's not relevant, because you didn't and he took himself off. Nobody can rewind the tape and give you a second chance at your reaction, and I remember at the time you were saying you wished you'd been the one to end it not him. I posted saying you'll get your chance to end it when he comes crawling back, and he has done - or at least is trying to.
The facts are:
(1)Why if all he says about how he loves me/us is true - he doesn't love you as an equal. What he means is that he's happy to have you around to take care of all his shit. I absolutely promise you that if he truly loved you, he might (only might) have still gone to the club with his mates. But he wouldn't have reacted the way he did to you being upset about it. He'd have been apologising and begging you to forgive him, not telling you that you were blowing it out of proportion and should get over it. His love is conditional on him doing what the hell he likes, treating you how the hell he likes, and you not just putting up with it, but actually not minding.
(2) To the vast majority of MNers, what he has done is unforgiveable. It's easy to say that and tell you to leave him from the safety of the keyboard, but it takes time to process and you haven't got there yet. But what we are all damn sure of is that if you took him back, he'd make all sorts of promises and not keep them. It would be more of the same, only now he'd know that if he said the right things, he'd get away with it again. And again.
(3) You were already, at his request trying to make a go of things again after a split. This is his version of 'making a go of it'. Is it good enough for you?
In the end, we can't tell you whether you were right or wrong to do what you did or what you're doing. It's your life, you have to make your own decisions. We can only give you another perspective on the situation as outsiders, when you're in the middle of it and can't see the wood for the trees.