I wouldn't because I'm not keen on kink in my sex life. I find a lot of the role play, dress up, striptease, bondage, blah blah stuff really infantile and peculiar and off-putting, and this is just another example.
This is not to say I have an issue with guyliner, frilly shirts, sarongs/kilts or a New Romantics vibe. At all. Personal style is one thing, performative kink is another.
'Cross-dressing' is not a clear-cut term but to me it implies 'play-acting' - so dressing up 'as a woman', which can only ever mean a man's idea of a stereotypical woman (as these chaps never want to dress up as a woman who's wearing jeans and a hoodie, or scrubs, or pyjamas, or a trouser suit, or loungewear. Like most women, basically. It's always mini-skirts, stillettoes, lingerie and lipstick look. It's a stereotype, and it's sexual. Which would both be a big turn off for me.
Moreover, my though would be - he's been 'upfront' about this right from the off. Which means he wants you to know. Which, I imagine, means he's going to want to involve you at some point. Moreover, he's told you this right from the off, which, call me suspicious, would suggest to me he's warming you up with this for eventual more extreme kink revelations down the line. So if this is making you a bit unsure, I'd expect things to be escalated later on which you may be even less comfortable with.