Oh OP, I am so sorry! When I read your first post, I have to admit I thought 'his head has been turned' but obviously you don't want to read that when your husband has just left and you think he may be suicidal.
Having been in a similar situation (a lot of years ago now), the advice I was given by a friend who was a pastor, really stuck with me. He said 'don't make any decisions right now' and 'find firm boundaries'.
When our lives have been blown up by another person it's tempting to just rip up every photo, burn clothes, contact the OW or do something to let the world know about our pain but I found it really helpful to say to myself, 'I could do that later if I want to but not today, not when I'm raging, devastated. Today I'm going to do what's best for me and the kids'.
Secondly, boundaries will save your life. If he's ringing or contacting you with all this hand-wringing saying he doesn't know what he wants, tell him to stop contacting you about this. If he wants space, let him have space, but don't allow him to bounce between you and the OW, pulling you into all his emotional drama. He either wants to be with you or he doesn't. Refusing to engage with all this nonsense will save your heart and mind. If he is seeing the children, do a handover in a professional way, no lingering looks or coffees, just let him see the children for an agreed amount of time and then let him be on his way.
Often (sad to say!) when a partner does this sudden escape act, once the drama has died down, they come back begging for another chance. Only you can decide if trust has been broken forever or if you would be willing to repair the thing he has broken.
Right now all you can do is focus on you and your little family. Do you have wider family support? Can you stay with someone over Christmas and have someone support you through this? Being able to be honest with trusted friends will help you see the wood from the trees.