He is using your reaction to his behavior as an excuse to continue the behavior. This makes no sense.
I agree, call off the wedding now, even if it costs you thousands. He will cost you a lot more than that in grief if you go ahead with the marriage.
To add: Thank your lucky stars you found this out before saying "I do."
Dear, do you REALLY want your life to be watching and checking this man to make sure he is doing what he is supposed to be doing? You cannot fix an addict. He is beyond your scope as far as help is concerned.
Marrying any woman is the LAST thing this man should be doing as he has some serious personal issues he needs to sort on his own WITHOUT being in a relationship whether it be marriage or a serious relationship.
Counselling is in order for him, BUT that doesn't guarantee this will ever be 100% sorted and IF it does resolve it will probably take a great deal of time. I would liken him to an alcoholic. An alcoholic will ALWAYS be an alcoholic as a sex addict will ALWAYS be a sex addict. Every waking moment of the day they will always be struggling with/confronting these issues.
I would leave this for the professionals to deal with and remove yourself from the situation if you want peace of mind. Don't stay in hopes that you will "change him" because of the love you have for him. Love yourself MORE and leave. You deserve better.
Ditto RockRose
Ditto Chima7
Counseling was Your (His) best shot and it didn't resolve His issues. Save YourSelf future HeartAche and move on. The whole courtship phase is in order to see who (or who NOT) We should marry. This is Major. Don't turn a blind eye to this.
(Sorry for misspellings and incorrect words in my post. I'm on my phone and it keeps changing my words to other words. Very frustrating!)
What should you do? For starters, call off the wedding now. As in, today. Cancel everything now, today because hopefully you can still either get some money back if you made a deposit or not incur and cancellation penalties. I'm serious, make the calls right now.
Secondly, don't marry this guy. Not ever. You're not even married yet and you're having a million bad problems already with the type of things that only get worse the longer you allow it to continue. He has a serious problem, marrying him will not fix it. All that will do is make you trapped in a marriage with someone who is constantly going behind your back engaging in these activities. Under no circumstances should you reward his behavior by getting married. It will be the biggest mistake of your entire life.
There's not much else to say. He's not marriage material and likely will never be. As Rose already said, it's time to move on because morning has changed, nothing had gotten better in this relationship, instead it keeps getting worse.
You say you've gone through so much to get where you are - but where you are is right back full circle at square one.
Move on, in my opinion.