Should I let this go?

He left you for her, what’s to say he won’t leave her for another woman, too? This isn’t on you, you’re right. She is probably insecure, in part because he doesn’t make her feel secure. It’s okay to leave that immature situation behind, you’re barely acquaintances with him at this point and not losing out on anything except their annoying drama.

FWIW, the couple times I’ve had exes I wasn’t even close with tell me to hang back due to a significant other feeling threatened (though I didn’t do anything to be a threat), those relationships never lasted and they always came back to try to be friends after. But the friendships were never the same, even if I decided to continue to be in touch after, because they didn’t have themselves together. The situations they put me in when dating insecure or controlling gfs (situations I always respected!) reflected their own issues with boundaries… they were dumping it on me instead of dealing with it. The end result was that I’d realize I’d outgrown them and the friendships.