If Mary doesn't encourage, or know about, MC having sex with other women, then it is cheating. MC has told Mary to do the things she has done, or encouraged her, for the most part, in order to open her up sexually, and perhaps because he enjoys seeing/hearing about them.
We did not consider sex with Julia, for instance, as cheating. Even if Mary says she isn't comfortable with it. They discuss it, and she is a little upset, but it doesn't go beyond that. She was there, and was aware of it happening, and knew MC had allowed her to do things also.
But Kelly, Jazz (the nurse), Lexi, Zoe and any others would be considered cheating. Once Mary allows MC to have sex with other women, that is different.