This is just what some people do! I've never been in a relationship that I wasn't cheated on. The relationship I'm in right now, the only thing that has happened, is that her ex kissed her, and she let her. But to me, that's cheating all the same. We are working on getting over this.
You had NO idea he was married, so you have nothing to feel bad about. He is the jerk that couldn't stay faithful, and lied to you.
I would feel bad for the wife too, but not because of something that you did, but because of the jerk she is married to.
Keep your head up! You are a good person!