Bless your heart Sesame.
Lee nailed it. You didn't cheat, not even close. Way I see it, once a party ends it, it is over. If anything, congrats on finding someone you clicked with, as I see things.

But please put that fear to rest...you did not cheat, and to me, it speaks to a strong moral character that you're concerned about something so relatively innocent.
As far as staying...I know the prospect of him hurting himself is scary, but you cannot be his hope for a normalcy, you know? You can't be his anchor. A relationship based on fear and pity is not a relationship at all, and it will drag you down with it.

He needs to seek professional help if he truly does feel this way (that is, of course, assuming he is not using it as an excuse to not lose you...it is low, but I have seen it done

), and you should try to encourage him through whatever help he gets as a friend. But you are not bound or obligated to him out of this...that is not healthy.
Please know I wish you the best, and you're in my prayers.
Hugs,
Harley