I understand it is hard and I also understand it is completely your decision regardless of anyone else's opinion about what you and this guy are doing. I have no opinion as to the morality of any of the players here, but there are ways to start to mitigate your damages (as in the high risk of you being very hurt and damaged by this situation) and for me, that would be to find and have in place another therapist I thought I could eventually trust. Do you know what you want? Is what you want possible and attainable in any reasonably probable way?
Could you afford to see this therapist (this assumes he is still being paid when you see him) and another therapist at the same time for awhile with goal to leave the first one? Are you willing to actually leave him? Are you willing to risk him quitting you because of his own guilt/situation/fear of exposure or whatever without having another support in place?
I think there may need to be and understanding having a new therapist might also involve an acceptance that the new one will probably not condone the actions of the old one and will encourage you to break off - but you would have to be willing to accept that as a possibility.

If it were me in this situation, I would probably start with a fantasy and a wish it would all work out with the original therapist and I would not have to change my behavior or be hurt and no one else would be hurt either and we all lived happily ever after continuing to do what we were doing and having it be beneficial to all. Hopefully I would eventually come to understand it was just a fantasy and I was going to hurt one way or the other and then move forward to try to choose the healthier and more empowering hurt - leaving the old therapist and working with a new one who was able to help me through the situation with the old one without judgement. It is a choice between two hurts - and one of them is the better hurt to endure. In my opinion.

I wish you luck with whatever decision you make.