First girl is his wife, doesn't change throughout the story from what i understand(though this is a harem), as for why she's worried, it's because if i remember right she's the princess of a kingdom who was being sold off or something by the crown (can't remember the exact reason, as such what she did in the first few chapters, aka trying to get him to stay with her no matter what, is essentially related to that, if they find out where she is, they will drag her back or something to that effect, and yes he finds out and no he doesn't turn her in.
Word of warning, next part is a rant from someone who's dropping this.
If i'm being honest though, the spoilers i read on novelupdates are making me drop this manga, if you think what the girl did was bad, i think rape is a common theme in this manga, and yes the mc does it too later in the manga to a assassin supposedly, so yeah i'm dropping this, i had trouble tolerating the first girl's act, if this is gonna be a theme in this manga no thank you.
Supposedly this doesn't happen in the manga but i just can't stand the thought.