I agree that saying NC may backfire. U do not want to drive it underground and at least he is open about contact with OW. But u can set boundaries to protect yourself. I expect it will be much more difficult to detach when H is doing favours for OW under ur very nose.
Have u been able to figure out what need she is fulfilling? Obviously not physical but she must fulfill some need for him to go there. That cld really help you with making you the better option.