Well the woman at the center of the affair charge is Stephanie Birkitt who up until recently lived with the accused blackmailer. It is being widely reported that their relationship ended prior to his son being born in 2003.
Now, on his show he said "women" implying more than one. It can be viewed on
YouTube.
He only married this past March so I would assume (I know, I know) that the bulk of any 'relations' would have been before marriage just due to time limitations. KWIM. However, he has been with his now wife for 23 years. We don't know what she knows or when she knew it.
ETA - Stephanie Birkitt is still employed by The Late Show