While this may seem callous, it is not in a man's interest to serve the feelings of his friend's girlfriend; if it was, he'd be in violation of Rule #2, but more on that later.
The reason a man doesn't tell is because he understands that his friend is being an asshat by cheating, and the longer he cheats, the worse the consequences from his girlfriend will be.
This all comes back to the original principle of male psychology: male bonding is deviated from mockery.
Therefore, if you let a friend get caught cheating by his woman, even though you know about it, you and all your friends can make fun of him at a later date for how much of a douchebag and a fuck-up he is for cheating on his girlfriend, who is probably hot.
The Guy Code is a loose set of rules subconsciously understood by men pertaining to a man's interaction with his friends when it relates to his girlfriend/significant other ("significant other" is used to be inclusive and PC; most homosexual men abide by "Girl Code", instead).