Wow, hopefully his ability to feel things very very deeply can be treated as a positive exceptionality by others as he gets older - I know it is hard to deal with kids who are like this. Adults and other kids might (consciously or unconsciously) make him feel negative about his own way of seeing things, and that can't be good for one's self esteem.
I usually don't think 'Oh great!' when my ds9 comes in to my room at night to talk again about death, loneliness, life, the universe, and everything. But I should - he is a cool kid and has lots of really interesting, if late at night, questions.
Like your ds, ours has been very interested in doing the right thing, although so high energy and curious I could not call his first few years 'well behaved'.
We found out last year that ds was probably depressed and we have been working on the why and what to do about it since then. For him it seemed to really boil down to feeling better about friendships - having more kids he could really call friends and seeing them more often. There was also some anxiety we had to help him with, and continue to do so.
Sounds like you are going in the right direction to get your ds some help, just letting him know you see he is sad and he will feel better with help should give both of you something to look forward to.
