The hide-out where Winston and Julia meet is full of imagery:
- color imagery: "light and shade," "pools of gold"
- natural imagery: "bluebells," "ring doves"
- spy imagery: "mike hidden," "patrols."
Orwell creates a Garden of Eden here: the place where there is no darkness. It's alive and carnal. Who's watching? God? Big Brother? Were they followed? Winston, 39, is acting like a teenager cutting school. His paranoia is palpable.
Winston and Julia's conversation:
"Listen. The more men you've had, the more I love you. Do you understand that?" 'Well then, I ought to suit you, dear. I'm corrupt to the bones.' 'You like doing this? I don't mean simply me: I mean the thing in itself?' 'I adore it.'
Winston has been so sexually repressed for so long that he finds it wildly refreshing that Julia could feel such eroticism. Why hadn't the Party drained her too of all sexual impulse? Why hadn't she been programmed (or deprogrammed) by the Youth Sex League to abhor sex and channel all her physical desire for the Party?
Sex is rebellion, and Winston makes no jealous complaints: it turns him on.
When Winston is about to have sex with Julia, she tells him she has been with many other men. As you say, he is pleased. This is because their affair is really not about sex so much as it is about rebellion.
Winston hates the government, hates the Party, and it makes him happy to hear bad things about it. In this case, the bad thing is that Julia has had sex with so many men from the party even though that is not supposed to happen. This shows Winston that the Party is corrupt and that makes him happy.
So, because the affair is about rebellion, it makes Winston happy that Julia has been doing things that hurt and defy the Party because that is exactly what Winston wants to do both in his affair with Julia and in the rest of the book.