Mr Fisher answered your question with, what I assume, is a story of a lady he saw in the more "standard" way in this business, and it may be applicable...but what I am wondering, is it possible that your reaction has less to do with "cheating" on a woman you pay for time, and the unique dynamic of a Domme relationship?
By that, of course you pay your ATF Domme for her time, which makes you "the boss" (so to speak), but what you are actually paying for is to be her sub, to make her "the boss".
Whereas I have no way of knowing the specifics of your sessions with your Domme, I do know that some Dommes will punish a sub for reaching "release" before she says he may, or reward him for doing so on command. Even if your sessions are not nearly that "controled" in the role of sub your pleasure, your pain, are hers to allow you to experience, or not.
If that "allowing" of your experience is a part of your time with your Domme, and if she is "the boss" it isn't that much of a stretch to think you could have feelings of "cheating" on her by having another Domme fill that role for you.
There is also a huge amount of trust to the Domme situation, on the part of both the Domme and the sub...this could add to feelings of "cheating" by seeing another for that.
Since you didn't have an issue seeing the same lady for massage, but do if she provides Domme services, then I would be inclined to think it the Domme dynamic that has you having these feelings.
Which in their own way, kind of make perfect sense.
Now, in a way, that you are having these feelings means you have a good D/s relationship with your Domme, you respect her as your Mistress, so you don't go elsewhere for that lightly.
In this situation (if it is the D/s dynamic which is causing these feelings) I wonder if there could be a way to either seek permission from your current Domme to see another, perhaps with some tasks you must meet to get that permission, or perhaps, since you seem to be saying you are going through with the BDSM session with the other lady anyway, if you could "confess" and seek "punishment" for your "transgression"?
I do wonder though, if this will effect your "relationship" with your current ATF Domme. Once you "cheat" if there are no reprisals, if you can do "whatever you want" and she has no say in it...do you still respect her as your Domme as much anymore? or do you end up feeling less submissive?
*the above post is written with supposition that this is in fact an actual Domme/sub situation and not just a bit of spanking or other "pain" added to a "regular" session with a lady in this business.