In a lot of ways, he sounds like my sons. I didn't realize how shy my oldest is until his kindergarten teachers just reported that he's finally coming out of his shell. I didn't know he HAD a shell! Just the same, he's made lots of friends.
My oldest also has a hard time when the first try doesn't go well. It sometimes makes me SO MAD! But then I realized that since he was a baby, he's always waited to try something until he knew he'd be good at it. He suddenly crawled one night. He could walk at 9 months just holding onto my pinky, but refused to do it on his own until 11 months. And then, he fell down a total of ~3 times. This is a pattern in his life. He's just good at most things, so when he isn't immediately good at something, he gets discouraged and gives up. I've found that I need to back off for a while until he decides to give it a try again. I honestly think that his brain is subconsciously figuring out what went wrong and how to do it better the next time, because he usually does great on the second try, which is usually a few months later.
I've also learned to push him sometimes, when I know he's capable, but is just afraid of a new situation. For example, there was an art contest at school. I told him I'd take him out with my nice camera to take some pictures. He sounded unsure, so I told him to think about it. Weeks later, I brought it up again and he said no. I took the pressure off, but he still didn't want to. I finally got sick of it and took him to some neat places to take pictures on the way home from school. He loved it. He liked walking around, looking at things, and I taught him what he needed to know to take a good picture. It really really helped his confidence when his photo won for his age group!
That's my oldest son. My second son is the opposite of shy. He is easily distracted during games, and just now, at age 4, will he finish one. Of course, that was after running away from the board several times, and throwing fits every time I passed him on Chutes and Ladders. He also hates to color and draw. I have an entire shelving unit in my kitchen devoted to art supplies, and he hardly touches them. My oldest produces massive quantities of art, so this is quite odd to me. But even my oldest hates coloring books. He'd rather draw something on his own.
My nephew hated being confined, and would cry for an entire car ride (even an hour or more long). Mine weren't like that, but it's not impossible.
As for the sensitivity....
Well...
My boys are gifted. There's no doubt about it. And sensitivity often accompanies giftedness. His extreme interest in pretend play to the exclusion of all else could be a sign, too. Google for Hoagies' gifted page and see if any of it sounds familiar.