I am not sure what I would have done in the moment either. Maybe he will write to you or call about seeing you again and then you can say something to him.
I know I shouldn't be, but I am kind of shocked at the crap that comes out of peoples' mouths this day in age. I would assume that the majority of people out there know that calling someone a Ch*** is pretty much universally unacceptable, but apparently not. Even crazier that he busts it out during a first date. Wow.
If he just busted it out on a first date, I would guess he is either a) so racist that he doesn't care; or b) exceedingly clueless. Since he thanked you, I might tend toward the latter. I wouldn't have said anything in the moment either. Why potentially create a big confrontation with a person you don't know (and don't know how they might react)? Best to end it quickly as you did and then clearly and briefly explain why later, as you did.