Well I would be very suspicious too. I don't think that is appropriate behavior for a married woman, and I am fairly certain she sent the sexy picture to him. The fact that she deleted the messages and got so upset at you when you confronted her, and put it back on you when she was the one in the wrong is just not right.
If he needs someone to talk to he can go to a therapist so don't let her use that as an excuse. And I'm not sure about it not being physical I know when I go to the gym I shower there, I don't come home and take a bath. Just someone from the outside looking in. I am a women and it really sounds like a bunch of bs.