I think Penelope more or less turns a blind eye to Winston's "whoring around", as you put it...mainly because she doesn't really give a damn what Winston does anymore as long as he remains fairly discreet about it. Penelope has her own concerns, concentrates on those instead, and regards Winston as a "right tosser" (although those aren't the words she would use...the kitche help would use those words), and she can't be bothered keeping track of his philandering.

They fairly much live separate lives...although technically they are living under the same roof. It's a very large roof. Occasionally they have dinner together, discuss important practical matters such as financial decisions and what the hell to do about their niece Veronica, quarrel a bit, drop a few sarcastic remarks, and then go on their separate ways. It's a classic upper class marriage.