The GP needs to know, especially if he's prescribing other medications to your DH. Surely the dsd GP must query why she's taking the steroids regularly, and review the prescription? Or is she lying to the GP too?
Either way it's totally out of order, breaking the Law and detrimental to your DH's health, because he's self-medicating and likely to develop serious side effects (which are obviously indicative of steroid use and not explainable any other way) so he will be caught out eventually.
Personally I'd whistleblower on the pair of them.