He said he knew the other man who appeared in the video, but had never met him.
"I think for everyone involved it's quite sad," he said.
Josh said it was his ex-fiancé's birthday yesterday, and he hoped she was ok.
He said he hadn't really spoken to his ex-fiancé this week and conceded that if he was at the bar he would probably watch the show, but wouldn't have put it on the internet.
Josh told The Edge that the night his ex was in the office with the unidentified man in the video, he had stayed at her house and she came home late.
The next morning he drove her to her car in town and she didn't say anything about what had happened.
He found out about it once he saw it on the news.
He said it was "a shame" it had happened.
"She a really nice person, she never made any mistakes, but unfortunately she made this one and it's gone world-wide."
He said he hadn't spoken to her since the exploits of Friday night hit the news, but it had been her birthday yesterday and he wished her well.
Sacking may not be option for romp pair
Meanwhile the two workers may have to work in separate buildings if bosses decide they can keep their jobs.
Neither employee has returned to work since the images were published online in New Zealand and around the world. An internal investigation is underway.
An insurance industry insider said Marsh bosses did not want to rush through the disciplinary process.
"Marsh are going to take their time," the source said.
It was understood the company may not have a case for dismissal.
However, the insider said it was clear they could not keep both employees working out of the same Christchurch office.
Both had stayed away from the office since Friday's incident. Meanwhile, it was clear the man's marriage has an uncertain future.
His wife is said to have found out about the extramarital affair on Facebook on Monday evening and was devastated.
The woman's friends were supporting her, a source said.
"[His wife's] friends are fuming and rallying around her," said the source.
The man is believed to hold a senior management position at the firm. He did not answer his work mobile yesterday or return messages.
The woman, understood to be in her 20s, has since deleted her Facebook page.
Marsh head Grant Milne did not return calls, but a spokeswoman said the firm would not be making any comment until the internal investigation was completed. "It's an internal issue that we're working through."
It was not known how long the process would take, she said.
The company would not comment on whether the two employees would be relocated to separate offices, whether they had returned to work, or whether Marsh had a case for dismissal, she said.
- Additional reporting Patrice Dougan, Brendan Manning, Sophie Ryan - NZME.