I actually don’t think there is much point talking to him unless you have a clear path / ultimatum you want to make and you can and will follow through with it.
He is having an affair. Regardless of whether it has turned physical, he’s in constant contact with her and whatever they are discussing is not appropriate for you to see and he’s not willing to share it. That’s an affair.
He knows how upset you are with this ‘friendship’ but he’s still trying to cover it up so frankly he doesn’t care. He is focused on how he can get away with it not whether it’s upsetting you.
If there is any hope for your marriage you have to be willing to end it. If that doesn’t shock him then nothing will and it was over anyway. But before you tell him you need to be sure of where you stand financially and what the next steps will be. He needs to know you are serious and this isn’t an empty threat.
If he does a 180, shows you the messages and cuts off contact with her outside of work you can decide whether it’s enough to repair the relationship. But frankly it would be understandable if it’s already gone too far.
Your marriage isn’t a given. He doesn’t get to treat you this way and expect you to feel the same about him. Right now he thinks he has the wife at home who does everything for him, and is respected as a family man whilst getting his excitement from a secretive and addictive relationship with OW. That’s not ok.
Once he’s left with only a sordid and one dimensional relationship with this OW the allure won’t be the same. Especially if she has no intention of breaking up her marriage. I wouldn’t say anything to her husband. Why make it easy for him if she is dumped. And you come across as the crazy wife.
Rise above it all and tell him his actions with this woman has destroyed your trust in him and you no longer see him as the man you married. He’s disappointed you and let you down and you don’t think you can come back from this as you have tried your best to communicate how it has affected you but he hasn’t cared or put you first. Tell him he’s free to pursue this friendship and you will no longer stand in his way as it is obviously more important than his family. Then let him consider the reality of this and impact on his life. Let him feel the consequences.