Yes.. go for counseling, ASAP, regardless of the outcome of your relationship. Threatening suicide for any reason is a serious red flag.
Let her go. A woman who continually leaves the marriage physically, seeks an emotional confidant with a member of the opposite sex is not a happy camper. Let her go, no strings attached. She knows where to find you.
It's not about everything that you can do to make her happy. It's about finding your own personal joy that is not solely defined by another person.
Learn how to set your boundaries. What is and isn't a deal breaker for you. Have firm consequences if they're violated.
First of all before anything else, get into counseling with a highly regarded professional. Get healthy first, the rest will follow.
Consider consulting excellent lawyers to find out your legal rights. The first session is usually free and gives great insight.