I didn't know he was married...

I met this man at the hotel I work at. He stays often on business. He would go out of his way to come by and chat for a bit when he was there, and after a few months he asked me out. We went out on several dates before we slept together...that was a few weeks ago. I just found out three days ago that he's married, he acted like I should've known and that it wasn't a big deal, even though he doesn't wear a wedding band and has never mentioned his wife. I feel hurt and ashamed, not only because this guy I was into turned out to be an asshole but because this woman has no clue. I would never knowingly sleep with a married man, I find it despicable. 
I managed to find his wife on FB and not only does she have no idea he's a cheater, they're expecting a baby in January. I stopped having anything to do with him immediately but my question is, should I send her a message telling her what he did or just let it go? I would want to know if it was the other way around, but I'm torn. Any advice is appreciated!
*I fully expect her to lash out at me, I can't blame her for that, but I can handle that. It's the idea that she is pregnant and I don't want to stress her that is making the decision difficult. 
*My manager has been aware we were seeing each other, and had no problem as we were discreet and always met off of the hotel property. She and I have a good relationship. I told her the day I found out and she was super understanding and supportive, so I have no worries about backlash at work. 

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