I imagine some of your son's sensitivity will, err, balance out, with cumulative exposure to real life events, the good and the bad, and their meanings, or lack of meaning, over time. If that makes sense. Maybe it would help to talk about the concepts behind the things he sees, real or fiction. Even if you haven't read what he's been reading, maybe it'd help to ask him, next time he's upset, about what he thinks the main ideas were in the stories, and try to figure out, with him, how the particular scene that affected him fits in, and why it was important. Finding some sense of meaning, understanding, concrete or abstract, brings closure [which, J's require].