Well, I'd say it is shocking, but of course a hidden OW is not at all shocking. Every time I see a newbie who insists there is no OW/OM I just shake my head. We know they are going to pop up sometime/somewhere, don't we. These folks just don't chuck it all aside without something else in play. However, it is still WTF isn't it, that he would ask his children to keep this hidden from you.
I think the more interesting part is why he wants you to know now. Given that he has kept this from you all this time, why just blurt it out now?
My S is such a blabbermouth that he couldn't keep something like this from me. But I suppose yours has made it more difficult because he has remained involved with the boys and therefore they feel more obligated to protect him I guess.
I would probably say something like, dad has shared his big news with me. Would you like to talk about it? Maybe they will share their feelings. If not, I'd probably let them know that they are not required to keep secrets, even when asked to do so by their father, and if they are concerned or bothered about something they can always feel free to discuss it with you. If they don't want to, that's ok too.
I definitely think your kids get that dad is not right and that this is not a "normal" situation. My guess is that if it were giving them problems you would have found out about it. They have each other to help them try to process these things as well.
I'm sorry you are still having to deal with his crap.