Re: bedroom talk has left me feeling awful
As long as he understands that he has voluntarily restricted his sexual partners to one woman. Everything else is a fantasy.
There is a difference between desire for penetration, and sexual attraction to men. I know that that is confusing. His expressed fantasy seems to indicate that he has both.
I find in my own history that I tend to be most sexually attracted to people who are physically like the woman I am in love with. it's not instant or 100% but something that builds over time. At least with people who have a need for emotional connection before sex.
The fantasy has worried you. It is still healthy that he has shared it with you. it helps you to understand him better, and it is an intimate secret that you share. A huge rejection on your part at this juncture may reduce further sharing. I vote to improve communication, but that also means that you need to share your true feelings on this. for example, "I'm not comfortable with bringing another person into our sex life. or "I'd prefer if you could do that with me." or if this is the case, "I don't like thinking about Anal sex in any way." Truth in a non judgmental way. Never, "you are sick." or, " you just want another partner".
Sorry for rambling.