@smtzc,
Ok. You have told him this bothers you and yet he keeps doing it. You two are at a standstill.
You can ignore him and laugh it off because nothing is going to come if it. (Pity his poor male need for excitement - like a little kid who likes to do sneaky things)
OR
You can continue to get yourself worked up over a behavior that a lot of guys do. Remember, you are real, they are fantasy.
Does he do this inappropriately or is he spending family money on these sites?