You need to do what you feel is right. He cheated and that sucks, it was with a guy, so does he have a preference of men and you are a cover or does he enjoy both and okay with both? That only matters if you are okay sharing him, though since he did cheat I would argue that he will again if the Leo thing doesn't work out (yeah I fall in the once a cheater always a cheater belief system).

Either way you need to talk with him and then either cut ties and work the break up or accept that this is your life. An ultimatum is a horrible idea and this likely breaks the trust barrier, so I don't know that your relationship will ever be the same.