Apologies for mis-reading the kind of trust thing - i get what you mean now.
For me, I personally wouldn't risk the Macau thing as, reading into what you're saying (apologies if I get this wrong) you really don't want to leave your wife. As has been said, if someone see's you in Macau with another woman it could get messy and very difficult to explain.
The baby thing - thats a matter of conscience I guess. If this became an issue of four people's lives in 9 months time (rather than the three currently) how would you feel? You say that she has no hold over you money-wise but kids have a habit of changing priorities when they arrive (regardless of how little we say they will!). it was the last thing on my mind but there is a danger that the girl could see you as her knight in shining armour and its an easy way to trap you?
For me, I wouldn't for the reasons stated above but, this i your life and you only get one shot so you need to do what is ultimately right for you!
I hope this works out for you