sorry to go against the tide, but I can see this from two different angles. Also I'm keeping in mind that no offence, but on Mumsnet we do only hear one side of a story mostly.
The first is that he's being thoughtless and insensitive, as most posters think.
The second is that its easy to be insecure, specially if your husband goes away on piss up trips where people do hook up. Very insecure. But insecurity plus low self esteem plus two very young children can lead to oversuspicion, overreacting at times and being on a short fuse. Which can lead to the other half tending to keep quiet, and if they feel they'll be criticised for dancing with someone of the other gender or chatting to them or being good friends with them, yeah, after a certain amount of time in the end they'll put their foot down and say "you're not going to stop me being friends with someone of the other gender". Or at least you'd hope they put their foot down.
Having said that, it depends on what is meant exactly by "confiding" and if they were really dancing intimately or if it was camera angle, normal for that group, or whatever that made it look worse than it is. It also depends what you mean by "these women aren't friends", that bit has me puzzled. Random strangers? work colleagues?
Has he tried to reassure you before now?
The comment about "wont ever cheat on you because you're the only person who fancies him" is really odd and a bit of a red flag. However from what you've written, OP, tbh I could see it being either angle. Which exactly it is, only someone much closer to the situation could tell. I think its not just case of him being an insensitive sod at best; independently of that you need to look at your own insecurity quite hard and then at how he behaves the rest of the time, like Cogito said. Then reassess.
Either way I think maybe you need to tackle the low self-esteem if you can. Everythign seems worse when you feel insecure and useless. (and in some cases a partner can cause and amplify those feelings; in others, the insecurity leads the other half to become almsot paranoid and unreasonable).