Let me tell you, I had an affair myself and what he's saying could have come out of my mouth.
I would bet money that they have been physical. What did the emails say? A man doesn't want to divorce his wife unless he's got extra tail lined up on the side or is lining it up. Sorry to be so blunt but really, he's lying.
Regardless of him. Report her. It's irresponsible not to do so.