I think it's wrong if you have a main to have a side. Not fair to either. Now if you're just dating casually it's ok to date other people. But once you decide things are serious with one it's time to stop seeing everyone else!
Guys think it's okay to have a side chick because they don't respect women. They lack complete and total consideration, respect, and understanding for the female experience otherwise they wouldn't do something so disgustingly hurtful and dedignifying to not just one, but TWO people.
Should the "main chick" feel threatened? No. The "main chick" should dispose of him and invest her passions and energy on something or someone that won't screw her over or chit all over her. As a woman, the only female existence you should ever feel threatened by is the less modified, less improved, less refined version of yourself. The version of you that keeps you tethered to painful infuriation, disappointment, rejection, abandonment, self-loathing and any other inner demon is the greatest threat any female existence should ever have. If you are feeling threatened even in the slightest by another woman, than that means you may lack skill and expertise in some way so humbly address that and seek to improve.