Oh, he needs a HUGE shift in perspective, especially if you two choose to try moving forward together. For what it's worth, I think it sounds like you handled the conversation with him incredibly well. He's so impossibly self absorbed still..
Like some of the previous posters, that smacked of falling for your therapist to me as well. There's a good chance he's a self indulgent twit of monumental proportions, and got himself all twisted up and confused. What an idiot!
On the "too honest" front, what a load of rubbish! After almost a decade of his self serving lies, he needs to be totally and brutally honest with you now. It's the only way you'll have any hope of finding some kind of way through this (whatever that is). He might not be saying things you want to hear, and maybe that you can't forgive, but he does need to start being totally honest if you have any hope of building any trust again - whether you stay together or not. Obviously you'll still be raising your daughters together either way. You deserve the full truth, and always did.
And NONE of this is on you @Sazdun whatever he says. You can listen as he talks, but you don't need to take the weight of the blame on your shoulders. There will undoubtedly be things you can both improve for each other in your marriage. That's true of almost all, if not all, relationships. Look up 'active listening' if that's a skill you want to develop.
The point though, is that if he wasn't getting something he needed from you, then when he realised that, he should have raised it with you and given you the opportunity to both grow within your relationship. Not seek it from another woman, especially his secret affair partner.
Given his religiosity, there's a faith based book that would highlight this concept to him very clearly, called Sacred Marriage by Gary Thomas. Might help shift his mind set and perspective a bit.
On the issue of friendship and gender, I don't really think that has much to do with it. It's the intimacy and confusion that's the big issue now, isn't it? I think you'd probably feel quite uncomfortable if he confessed he'd been building that kind of emotional intimacy with a male friend, then crying at his wedding, and telling you he loves him but not quite sure how, and this male friend was the missing piece in his life... Obviously it would be easier for you to take if it was anyone he hadn't previously had a sexual encounter with, but the idiotic deep emotional reliance he's cultivated outside your marriage was a big mistake on his part. He needs to realise why.
I agree with others that you both might benefit from a bit of individual counselling. Although given the possible transference on his part, I'd suggest he finds a male therapist. I appreciate that you don't want to spend date nights at counselling, but if that's your best chance to move forward, either together or alone, with peace and clarity, then surely it would be worth it? Date nights without trust, intimacy, honesty, or a solid foundation to your marriage wouldn't be much fun anyway, would they?
As for OW, or anyone else.. They have nothing at all to do with your marriage long term. Your marriage should centre around the love and friendship between you and your H. That's it! Long term, that's nothing to do with anyone except the two of you.
If you're both generally pretty practical, I would perhaps ask your H to offer you a solid plan of how he thinks you can move forward. Then you'll consider whether that might be an option for you. Things like individual counselling, couples counselling, living arrangements whilst that's ongoing, how he plans to manage work interactions with OW, etc.
He broke it, and there's nothing stopping him offering a solid step by step plan to try and fix it.