Some will say that monitor lizards are great at toughing things out, and indeed they are. However, there are quicker, and less risky methods (and not to mention, less painfull) to helping your lizard.
There is no way to know if the leg is broken or not without a veterinary exam and x-rays. Since he is utilizing the leg some of the time, I'd say it is less likely, but again, you can never tell with the pain tolerance of them lizards. In any case, using the leg will delay healing; and/or make it worse.
So, I suggest that vet visit, and in the mean time, simplify the cage to hopefully reduce the climbing, digging, activity.
Good luck, Ian