This reminds me of the Stephen King story where the lead character was almost caught masturbating with a pair of his sister’s panties as a kid - I could be wrong, but THAT sounds fucked up to me. This just sounds like another dimension to you usual bedroom activities.
If they were my panties, I’d be “meh.” I’d just ask that he try not to rip them. And that he wash them for me if he…er…finished on them. Leaving crusty stains on my clothes, now that’s just rude. 
Now, if they were anyone ELSE’S panties, then I’d freak out.
Yeah, that’s where we start to get into “You got some ‘splainin’ to do” territory.
Ha! Since this was prefaced with “this is f’ed up” I went in expecting to see something at least mildly strange, so I read the OP as “masturbating into my panties.” (My reaction to that would be great annoyance – if he knows me well enough to be having sex with me, why didn’t he tell me about this need of his to begin with, and besides, if he needs ladies underwear to get off, he can get his own panties.)
However, what the OP actually says doesn’t even ping the “weird” radar, nevermind the “f’ed up” one. If I had time, I’d join in and *ahem" help him out. 
Wait, tell me again why the marmoset is wearing my panties?