The way I see it is that we choose our friends based on many things, personality & behaviour I imagine in most cases to be the most important aspects. These are your own choices.
You have just discovered that your friend has been deceiving her family for her own happiness. As your friend, she has deceived you also for the past 6 months, she confided in the other friend you mentioned, but when? Presumably this affair is making her "happy" so the only thing she's needing support for is the pesky guilt...which she wants her friends to help alleviate her of.
If this conduct violates your perimeters of friendship then it's more than acceptable for you to distance yourself from it.
After all, she didn't confide in you either her marriage problems, any information about the lead up to the affair or for the first 6 months of it which would appear that she doesn't view you as the co-conspirator type of friend anyway, or that she wasn't interested in your opinion when it could have deterred her from the affair by helping her address her problems that lead her there or otherwise (solely based on the information in your OP)
I imagine your mixed feelings are due to grief that in your mind, your friend has effectively gone and she is no longer the person you recognise to be your friend. I would say similar to a romantic relationship where you grow apart due to changes or new information revealed.
I suppose you need time to recover from the shock, you could say to either of the friends that it's been a lot of information to process and you need/have needed some time to adjust for the interim.
Also, there's no requirement to make a big statement and burn your bridges, people lose touch all the time without big events, it's normal for some friendships to fade over time. Do what suits you, not what suits others.
Good luck!