The first woman he had an affair with was not just a spy, but also a customer. Isn't an affair with a customer also a fireable offense?

No, not if it's consensual. That is, of course, another common human point of interaction that frequently leads to hookups/relationships.

Generally I don't most handbooks have affair with a customer as being an offense. Arguably, that is just good business. On the other hand, having an affair with a vendor would be a problem.