Two of most important rules of swinging: 1) communicate, 2) move at the speed of the least comfortable person
So, first you should tell your wife how you feel. Don't accuse her, or this guy, of anything. Just tell her how you feel. (In pop-psych speak they call it "I" statements.) It doesn't matter if she doesn't think there is anything more serious going on. It doesn't matter if he thinks nothing more serious is going on. It doesn't matter if nothing more serious IS going on. What matters is that you are not comfortable.
Which brings us to point two - you are not comfortable. Therefore, at the very least, you - as a couple - should not play with this other couple until you are comfortable (which might be never). You may ask ask your wife to either stop messaging him or change how and when she messages him. Again, don't accuse. Just be honest and say it is making you uncomfortable. Talk to her. Listen to her and, gently, ask her to listen to you.
Honesty, trust and communication.