It's impossible to know what happened unless Terry tells your wife.
(I suggest a nickname for your wife too. Lots of folks here have wives and it would make reading your story a bit easier. Plus I get tired of writing 'your wife' and refuse to use 'wifey' as I find it annoying. My own pet peeve and a suggestion, not a demand.)
It could be any number of things - she realized she wants more than your wife can give, she's uncomfortable being openly non-monogamous, she's gone faster than she anticipated, she had indigestion or her feet hurt. Who knows?
It appears that Terry is not sexually involved with you? Have you, your wife, and Terry talked about the nature of the relationships? You are being really accommodating which is awesome and perhaps a little unusual in that you are on board with your wife and Terry having an actual relationship instead of threesomes or a physical sex only affair. Good for you. If I was in Terry's shoes - and this is purely theoretical as the only one who can tell you for sure is Terry - I would be wondering what the status of the relationship is. It may not be clear to her what is going on. Your post reads like things happened fast and that may cause potential confusion or worry.
Anyway, to actuallly answer your question, this is the hard part. You will need to let your wife and Terry handle their business. And you have absolutely no control over if your wife gets her heart broken. None. That is out of your hands. Yes, you can and should be supportive (and it sounds like you are) but nothing you do or don't do can prevent heartbreak.
This is a hard reality of relationships that can be magnified in ethical non-monogamy. We cannot protect our partners from pain, from loss. I happen to be a woman but I also have the stereotypical 'man' attitude of 'Oh no, partner is hurting! MUST FIX NOW!' I've learned that often this is less than helpful, especially in situations where the pain comes from outside situations -like your wife's relationship with Terry. You can't fix it.
As far as immediate practical advice, here is what I would do in your situation. Yes, stay out of it for now. You are going to have to be patient. A meeting between all three may not be a bad idea but it should not be organized by you. That's part of letting them handle their business. As time passes, you may - and I emphasize may - want to send a short note to Terry, saying something like you thought she was really good to your wife, that you are open to talking with her at her convenience and you wish her the best. Something short, to the point and low key.
Good luck and I hope it turns out well!