"Cheating" is breaking the established rules of something.
Your boyfriend and you make the rules of what your relationship is - nobody has any right to tell you what you should, or shouldn't have in your rules.
You have discussed it, and he has consented wholeheartedly. Therefore you would not be cheating if you went ahead and did it, following his requests about disclosure.
I would also suggest exploring in your own mind whether you would be ok with him doing the same thing - sleeping with other women - whether he is voicing that desire now or not. If you are *not* ok with it, then you might want to run that by your boyfriend first, to make sure that he isn't assuming some sort of of "if she can do it, then I can".
Does that make sense?
"Listen, or your tongue will make you deaf." - Native American Proverb