OK, my dad did this, but he was nice to us all after he left. One thing he did do in common was never to stand up to the OW WRT his children. She prefers if we never existed, and he didn't rock the boat.
Yes they are self absorbed, such is the nature of an illicit affair, it creates a little private, secret bubble.
Please be kind to yourself, this is an almighty shock and not one that you will get over in 5 minutes. You will get over it though. I promise.
Right, let's get started...
he still won't give DCs the address - says its the woman that doesn't want him to as she's scared
FINE, that's his problem, not yours, and certainly not your DC. Tell him if he doesn't fight to keep the relationship with his kids right now, it'll be down to him that they won't be bothered. I somehow care a lot less for my dad, because he never fought for us. I was 16, they were married almost 22 years.
When he phones he shouts me down all the time and now he's advised that she doesn't want him to speak to me as she feels threatened!
Don't EVER allow him to address you with anything less than respect! Hang up on him every single time he raises his voice to you, or if the conversation goes somewhere designed to make you feel bad. Keep this up until he learns to speak to his betters with the respect they deserve. He is not worthy of your time, you are doing him a favour in talking to someone with morals as low as his.
He says he's suffering because the DCs won't text him back. They still don't want contact with him and say they never want contact with OW. I'm sure it might change in time but there again sometimes I think he might have blown it!
Boo fucking hoo!
Unless he stands up to this creature*, he WILL lose them. Be really clear on that. He needs to understand that not giving them his address, not giving them an easter egg, not treating his mother with respect and not fighting to make sure they know he loves them is exactly how he WILL lose them. Up to him. He needs to MAN UP.
If he can't treat you with respect, then tell him to formalise it all through email only and go for a divorce. That ought to scare the shit out of him. 
*btw, entirely possible that the OW is being blamed totally without foundation.