+3
On the substance of the larger point, I think any time you are parsing the impact that something is going to have on you rather than the impact that it would have on the person who has been wronged, you are probably doing the wrong thing. This unsuspecting, by all accounts decent guy, is about to walk through a minefield. You have the knowledge to prevent that from happening, and yet you are weighing whether or not it would be better for you to remain silent. That, in my opinion, is not a moral act. It is a selfish one.
At the very least, I would end my friendship with this person. To me, character and reliability are the two most important aspects of friendship. If a friend has demonstrated to me that they have little to no character, that would not be someone that I would want to have in my life. I understand that everyone makes mistakes, but this woman did not make a casual mistake she is seeking to rectify. She is considering carrying on an on-going affair while she is actively considering marrying someone else. That is not a moral person. If it were me, and I knew this person at all, I would tell him. If I didn't know him, that would make things more difficult, but at a minimum, I would lean heavily on this woman to tell him. If she refused to do that, I would end my relationship with her. I would explain to her that if she is straying now, and she is not able to commit to this man and be faithful at this stage, than that does not bode well for them being a successful married couple. It really is better for them both for her to move on.
As for the other comments about letting "nature take its course" and not interfering with other people's lives, I honestly think all of that is pretty much nonsense. This type of rationale can be used to justify all sorts of really immoral things. If we see someone abusing their child, we should not interfere because it is not our business. If we see someone commit fraud, we shouldn't tell the old woman whose life savings is being stolen because it's not our business. This is the type of mentality that led to a million people dying in Rwanda. Of course, we cannot intervene in every situation, but having some kind of blanket non-interventionist policy is not moral. It's cowardice. Self-interested reasons like I enjoy the attention I get from other girls when I am with my immoral but very attractive friend, are not moral rationales. They are self-interested ones. You should tell him. If you cannot bring yourself to do that, end your friendship with this woman. Not telling him and carrying on a relationship with her is not an option I'd even be considering.