What I don’t get is why?
Because he wants extra sex with someone who isn't his wife. It's not difficult!
I really think you need to work on your boundaries OP because you're coming across really naive and trusting, and I'd bet my last packet of cup-a-soup that his wife is completely unaware that he's been playing away.
It's incredibly easy to fool a trusting person. (Especially someone with a vested interest in being fooled - such as being financially dependent on the deceiver.) His wife probably thinks he's taken a second job, or an all-consuming hobby, or even volunteering.
I have known men rope their best friends into giving them an ongoing alibi. I have known them rope their children into giving them an alibi. (My dad did this! "Stepped up" to take me to drama rehearsals/school netball matches/horse riding - he'd drop me off then disappear for a quickie with his latest OW.) Never underestimate the duplicity of a man who wants an extra-curricular shag.
The fact you've only been seeing him a few months yet feel you'd have to leave work if you broke up - this says to me that you aren't in the right emotional place right now for a relationship. You've gone way too hard and fast.
Work relationships fizzle out all the time (because spending every day together is a recipe for boredom, not romance - how can you have that lovely feeling of excitement and anticipation of meeting up if you're in the same office all day?) With the job market this uncertain, if I were you I'd be gracefully fading this relationship - as a PP suggested, saying "This is going too fast for me, let's put the brakes on" and then just gradually pulling back. Then when I felt ready, just finishing it with a low-key "This isn't working for me - I feel we're too different" and just parting ways amicably (even if I privately felt he was a weaselly lying scumbag who didn't deserve the steam off my piss.) No fuss, no drama, no workplace hassles.
If you feel he won't "let" you end the relationship calmly, then that's another problem entirely.