Following your "mom gut" is always a good idea. Was he getting enough out of the school to make it worth his time--keeping in mind that at 4/5yo, a school year is a BIG chunk of his life!--especially when he could be doing other things? It sounds like the answer to that is a resounding no. Don't let the teachers worry you. They clearly didn't understand your child the way that you do. Why would they know what's best for him more than you do?
I'd also counsel not being too upset by the "I wish I were dead" sorts of comments in a child that age--provided you do something about what's causing the comment. (That's key!) It's a pretty common way to express unhappiness with a situation. If you don't see other signs of depression, it's probably better translated as "I am really not happy with this school."
If you DO see other signs of depression, take action quickly, of course. I don't want to downplay that!
But I think it pays to remember that "You're mean to me" becomes "I hate you!" and "You're nice to me" is "You're the best Mommy ever!" for kids this age.
Hang in there!
