I think there is more going on with your husband than what he is saying. What would I do? I would stay in therapy and learn about myself and figure out who you are, etc......Sadly, we cannot make anyone stay. We all have issues, and I am sure he does too. Is he willing to go to therapy?
Life is never easy. Not everyone is going to like or agree with us....we need to learn who WE are before we can have relationships. As i said I would stay in therapy and learn abut yourself, and why you react and think the way you do. Yes, it is "exhausting" to live in a world which can be unkind and sometimes cruel.
Do you feel the therapist is helping you sort things out?