It is never easy to accurately access somebody or somebody's situation via an Internet post.
OP initially stated as per quote above that the relationship was "going fine."
The truth is, however, you don't control anything in this life. People lie, cheat, and steal there's really nothing that you can do to prevent them from happening.
No matter how he chose to react to this, it wouldn't have stopped her intentions. The truth is, at least in my mind, relationships can be disempowering, especially for men. When you agree to exclusivity and cohabitate with a woman, your two greatest assets, which are your time and your attention, become greatly diminished and taken for granted.
Guys who spin plates and aren't concerned about being in an exclusive relationship rarely ever are affected with such concerns. Insecurity and jealousy are not part of the DJ mindset.
I personally applaud OP for looking her in the eye and telling her to have fun. That, in my opinion, was the best way to handle it.