I've been in your situation - twice - and you're right, it multiplies the betrayal. All my sympathy 


The only time I've made the conscious effort to break the news to a friend, she had no idea and was on the verge of a complicated marriage that would have changed her future options. She was fantastic, actually. She checked for herself and recognised how much courage it took! Best of all, she called it off & threw him out.
But ... my only female friend from childhood is no longer a friend, and I had no idea whether her husband was cheating! She raised her concerns, I talked it through with her and said that, when it comes down to it, she should trust her instincts. I very likely told her that, since she wasn't normally insecure in her marriage and now she was, her instinct was probably right to some degree at least. In her mind, this translated to "Garlic tried to break up my marriage"
She's irreplaceable and, while this does tell me something unpleasant about the person she is, I wish I'd just made insincerely comforting noises.
I did keep quiet in another situation, where I was more the husband's friend than the wife's, and I knew he was going to tell her himself. I made it clear that I wouldn't cover for them, I'd just not answer any awkward questions.
Your friends, @lostthemall, should have known whether you were likely to choose him and hate them, or listen to their warning and analyse it with them. But then, I've known Friend 2 all my life and didn't anticipate her reaction. If they'd asked others' advice, it would have been to keep quiet 
I would do it again. What you're going through is horrible and, if there's a chance of saving a friend from this further humiliation, I'd risk losing her. But that is the risk! Maybe just hate them for now, but keep the door open.
Wishing you the best.