I absolutely would not protect him; his behaviour sounds incredibly predatory. It’s notable how panicked he was that the swim group might get ruffled- that’d absolutely be my cue to make sure they know.
Judging by her messages, he has absolutely not been “supporting her mental health”—he is fundamentally a liar. That message suggests that their relationship has been going on for far longer than three weeks, meaning his deception runs much deeper. Or, perhaps even worse, if their relationship became sexual within three weeks, he has likely taken advantage of a vulnerable woman. Did she know he was in a relationship?
If you feel you want to show the messages to the professor or anyone else, just be careful—whatever you do, don’t send or text those screenshots to anyone, as that would be illegal
FWIW I think this good advice from @Codlingmoths
I would apologise to woman 1 though, say I’m so sorry for being so snappy and rude, I was so stressed about my relationship and I focused on the time he was spending with you as I didn’t know he was having an affair with <her name!! Tell her who it was!> anyway he’s moved out obviously and I think I’m better off but I am really sorry, you seem like a really interesting fun person and I was just jealous and upset, you didn’t deserve that.
bonus it gets the news out 😁