I have done therapy both my XH (not an A) and with my AH. In my opinion, it takes both people being completely open and honest and both wanting same results. Sometimes I have heard of people going to marriage counseling to decide if they want to stay married. But I believe it is a good sign your A is willing to go and also to be honest with you. Hopefully these sessions will uncover the true reasons behind his unhappiness and need for escape (alcohol, affairs). But just because he says he isn't happy, that doesn't mean you did anything or didn't do something to cause it. We are all in control of our own happiness. Maybe try not to take it personally as a personal attack on you or your marriage. Maybe he just simply is t happy with himself right now.
I hope it all works out well for you! I've seen people that are self aware make amazing strides with counseling and have a marriage in the end that is stronger and better than they ever thought possible.