It's trust. Trust is a very useful lubricant and accelerant for any kind of relationship, whether business or personal.
Without it, one would have to have the means and spend the time to analyze the potential for duplicity in any given interaction, build mechanisms to enforce agreements, monitor/verify outcomes, and/or retaliate forcefully enough against those that break agreements. You would largely be unable to work with other people or groups. Meanwhile, you'll be easily and massively out-completed by those that can establish trust-based relationships with each other.
This is quite important for a CEO to be effective. If people see a CEO doesn't follow through on his commitments when he feels he can get away with it, they won't trust him or the company he controls, which shrinks the company's opportunities.
Put it the short way: character, integrity and honesty build trust, and trust is a huge advantage. In a competitive landscape, a base level of business ethics is table stakes, and Jensen likely doesn't have that base level. (Note that the three affairs we've heard about all have significant business ethics implications, not simply personal ones.)
I don’t think you can prove the core point that someone cheating in their marriage is more likely to cheat elsewhere. In reality, people are complex and will have different interpretations of morality. I’d bet you could find serial criminals who are scrupulously faithful in their marriage.
In reality, you’re dealing with three different domains: personal morality vs. company rules vs. nation state legality. There’s no accounting for how individual people weigh up their stance on each, and there’s not necessarily a correlation between any of them.