I used to have a very severe stutter and became very frustrated when people finished my sentences so I can relate to this. I personally preferred that people simply wait for me to say the correct thing, but it's different for different people. Since you said he is visibly hurt/upset when you correct him I'd say that what you're doing is 100% the right thing. However, it never hurts to ask, and I think learning if and when he is ok with being corrected is perfectly reasonable.