I know what you mean. Through the worst times of my divorce I wished the pain would stop, until it became so bad that I became numb. That was scary! Worse than the pain - the nothingness, the void, the unendingness of everything. Very scary. No, I don't believe anyone would give up their emotions, especially if they have experienced this "numbness". Thank goodness, that's over!
Have you ever wondered about the meaning of pain? I am reading a book by Philip Yancy, and this is a question that he grapples with. Basically, pain is there to warn you of more severe hurt. Pain is there to preserve you. An example of this may be, like a person who puts their hand on a hot stove, they burn their hand and pull away. Conversely, someone who is oblivious to pain may also put their hand on the stove, burn their hand, not pull away - and they burn their hand so badly that it may have to be amputated. This is a reality for some who do suffer from living a "painless" life.
This may be true for your friend. Perhaps burning himself now is painful, but should the relationship have continued, worse harm may have awaited him - in whatever form that would have been.
He is lucky to have a friend like you. My best friends are the ones who allowed me to be whatever I was - sad, angry, blah, blah - at any given moment. In their presence I found healing and self-worth again. Soldier on with your friend and good luck :-)