You seem to think that a romantic relationship only revolves around the sexual, but a huge part of a romantic relationship is having the shared intimacy, physical closeness and emotional intimacy.
The reason most people would be threatened by their husband or wife cuddling someone like this in bed is because that kind of emotional and physical intimacy is usually limited to a person’s significant other.
It sounds like what you have with your friend is something a little like a romantic relationship without the sexual element. You are very comfortable around one another, you are physically close, and you derive emotional support from that closeness.
And that’s complete fine! But it takes it out of the realm of a platonic friendship and into a slightly different place, which is probably why you’re feeling uncertain about it. It’s perfectly ok to have a relationship which has the closeness and emotional elements without the sex, but it is a different beast and it is likely to hurt/confuse any future partners you both may have if you’re not prepared for it.
By all means go with the flow, but be aware that if you or he do meet someone then the dynamic will have to change, and that’s likely to be difficult (e.g. if he meets someone, she finds out he cuddles you in bed is understandably jealous, and he is forced to limit contact - or vice versa).
For now though, enjoy it! Glad you have a good friend there for you through the tough times.