I'd say he's being a bit dramatic, but I'd also say that you are being rather dramatic, too. how does an early bedtime relate to disappearing in a crowd ?
If he doesn't get enough sleep and is grouchy all day, then an early bedtime makes sense.
Try a little instruction BEFORE an incident, like, "when we get out of the car, I expect BOTH of you to stay right next to us." And decide who is going to stay with whom before you go into the crowd. Have a plan for what to do if you get separated.
When it all works as it should, praise everyone, esp, thank your son for staying in contact the whole time. It's important.
If his disappearing in the crowd was important enough to punish, then it's okay to punish the whole family. If he'd been taken from you by some wierdo, that would have also punished the whole family, right ? And then when you went back to the movie a different day, with JUST YOUR DAUGHTER, he'd have certainly got the hint that he couldn't go to the movies if he couldn't stay by your side in a crowd. Our behavior DOES impact all of those around us, for the good or for the bad, and while it isn't fun to get disciplined for someone else's bad behavior, that is also a fact of life. When someone decides to drive 90 mph and crashes into another car, it DEFINATELY impacts other people even if they were driving carefully.
That said, I have raised 4 children and have never grounded one of them. I haven't sent them "to bed" early, either. I have sent them to their rooms if they can't behave in an appropriate manner in the public areas of the house, but I haven't ever grounded them because it also grounds me. And I can't see the point.
When he says he wishes he had never been born, you can say, "Well, I'm glad you were born, because I love you, and I would have a big hole in my life if you hadn't been born." Or, you could say, "Growing up is kind of hard, isn't it ??" You can let him know that you have to follow rules, too, for instance, if you and he went somewhere together, and you hopped in the car and drove way, how would he feel? How would he get home? It's important to behave appropriately. He's angry with you, and he's lashing out, and that part is at least honest. When he says that kind of stuff, however, get down to the real issue. He's telling you he's not happy with the punishment, but he's also angry because he can't seem to measure up. Be sure he knows that he measures up and that he is truly loved. Growing up IS hard. When he sees something he wants a closer look at, it's okay to go over and inspect it, but he needs to learn to FIRST get mom's attention, and tell her he wants to go see it. And when he does that, MOM needs to pay attention to him, and all of you need to take a break from whatever you were going to do, call a quick time out and GO OVER and see it together. Let him share with you his experience of why he wanted to get a closer look.
the more he is able to interrupt your agenda, and see that you are willing to accomodate his requests, and his inquisitiveness without having to sneak off and run away, the more he will include you in his discoveries. And you will both be TONS happier !!!