If a WG is bothered about seeing married punters she is definitely in the wrong job.. Firstly because moralising about it in her shoes is frankly bizarre and secondly, married men are likely to be her bread and butter. Don't bite the hand that feeds and all that (yes, I came across ParisGate!)
From a WG perspective, don't worry about it at all! We know a large percentage of our clients are likely to be married, it's okay. Maybe don't bring your wife up though, partly to protect yourself and your privacy and partly because it's just not the time or the place
Personally I think it's better to go to a pro than risk an affair with all that emotional attachment and a far higher risk of it getting messy.. I know that when I've cheated in the past I felt far worse when there was some emotion involved. Thankfully I'm single now and would love to settle down one day but would probably go for an open relationship, just because I an so very aware of the drive for sex outside long term relationships and how normal that desire is!!