IMO, if they tell you, they are then obligated to hear your response (if any). If they didn't want a reaction (be it positive or negative), they shouldn't have told you.
My close friends know that I am all about total honesty. I may not like what they say and vice versa, but it's a condition of our friendships and we all know it. If I feel that what a friend is doing is going to hurt them or is a mistake, I am not shy about discussing it with them and/or letting them know what I think about it. I expect the same from them. Sometimes friends see things that we don't, you know? Or they have advice that we need but we don't think or know we need, if that makes sense.
If you have that type of friendship with him, I say express yourself. Not all relationships are like that, however, and of course it's your decision to make based upon your personal circumstances.
I am always careful not to condemn, but I am not afraid of expressing worry or fear that my friends are going to get hurt or used or whatever.
Good luck with this.
In my experience, married people don't leave their spouses, although it sounds like this married man may be having a sexuality problem, which can be different circumstances. It can also be the experimentation, which could be bad news for your friend.