Its a good question you ask and one to ponder over.
Rudra went to Laila for his needs nothing else.
He may have told her about his life but as we know quite a number of times while he was either there or just before he would also drink quite a bit. So he may have told her about his life while he was drunk. Back then he didn't care about women. All he cared for was his job and that was his priority.
Laila knew what kind of man he was like and she also knew the terms. She willing went into this type of relationship with him, no strings attached which suited Rudra perfectly well.
Like he had often said he was an animal not a man with a heart. As for him only going to Laila, she was there and willing so he didn't seem the need to seek anyone else.
Whether he knew she was good or bad back then he didn't care but after Paro entering his life things have become a lot different.
Hence when Laila tried to harm Paro he was protecting Paro which is what his BSD training had taught him to do. Always protect the innocent. He knew how innocent Paro was he had seen it so protecting her was his priority and still is.
As for Paro she herself said she cant really say anything about what happened between Rudra and Laila because it happened before they were married. What she wants to know is where she fits into his life and what she means to him.
If Paro was a modern women of today's day and age even they would say that what happened, happened in the past. It shouldn't effect the present or the future if people don't let it.
But Paro is a village girl who hasn't seen the world. All she has seen is what Rudra up until now has shown her. She believes in him and his words. She has seen he cares for her but she wants to hear him say why she matters to him more than Laila does?
She has yet to realise Laila's bad intentions.
Even in today's episode Paro asked Rudra what was the ending of that story and even Rudra thought he is also trying to find the ending of the story.
Rudra may have known what Laila was like but he at that time didn't care which is why he always went back.