BUT, my two cents on this one is: their activities place the company's interests at jeopardy. If things go sour between H and OW and she decides to sue for sexual harassment, that opens a HUGE can of worms for the company.
Most corporations take a very dim view on this type of "fraternization". I would report just to protect myself if I were you. Like Puppy says, it is the "right thing" in this case, ESPECIALLY since she is a direct report.
