Do you believe Daemon cheated on Rhaenyra with Mysaria and/or Nettles?
With Mysaria? Maybe? Though I lean towards a more emotional affair type thing. Or maybe not even that, most likely, he was discussing spy news and information about different factions' movements with her but because Mysaria was a known "whore" people readily assumed he was fucking her. Mysaria was his oldest companion. The one he once shared his deepest desire (a son) with. So ofc their is connection. But once Daemon had moved on from that, from her, I don't think he ever looked back.
With Nettles, it was a full blown emotional affair. That's for sure. I'm on the side she reminded him of a sweeter, more innocent, kinder Rhaenyra that he had loved and wanted to protect from everything. All those times alone with her, he was sort of deluding himself that he was back in time. A time when his beloved niece wasn't a shadow of her former self.
I find it extremely strange that people saw them taking baths together, sharing meals together, giving gifts etc (all rather private things) but no one saw them fucking each other. Ever.
It's still extremely wrong that he was having an emotional affair, but that man had been holding himself together (at least on the outside) for a VERY long time. Makes sense his mind was creating delusions to protect some of his remaining sanity.
This is why I think, Rhaenyra's letter makes him go from smiling to looking like he's dead on the inside. The delusion is broken when her letter arrives. Not only not letting him see Nettles as Rhaenyra again. But also confirming the end of the Rhaenyra he had known and loved. They had fallen too far apart. She had lost too much of herself. He was too late to save anyone.
His next step to grieve was basically a suicide. Grief works in stages. If his death was the final step, we have to assume he was losing it long before he decided to jump from one dragon to next, mid flight.
I'm sure Nettles loved him. It's very easy to love Daemon Targaryen. And very hard to keep loving him all your life.