There is no harm in masturbating during sex. It's actually good practice for both both men and women to masturbate during sex because it shows they're both comfortable with each other. Usually people are embarrased or ashamed about it.
But it simply shows that your man has no hang-ups about it. It is quite common for men to masturbate during sex, for instance, when moving from one position to another, in order to keep their erection.
If you are worried to much about it, don't be afraid to ask him why he's doing it. The worst thing you can do is sit and worry in silence. Always try to talk things through rather than remaining silent and assuming the worst.