I'm also of the opinion that it is better to stay out of it and not turn her in to immigration. I concur with what others have said, that it is W's problem to solve and that he might resent you stepping in to take control of matters. You can still offer him support and watch his back in other ways ... perhaps even by simply being there when he wants to talk.
I've seen more than one situation like W's ... where a new partner (both male and female) have moved in with a person and then take advantage of them for all their support. It has never been an easy situation to resolve, but in all cases the supporter eventually had to get fed up and draw the line him/herself.
I know it is also tough for you to watch a good friend being dragged down and abused. Best of luck ... as you may have to tough it out just as he is.