When in doubt, ask questions, the old saying goes
A good question to ask is whether it is a therapist, a psychologist or a psychiatrist that he's seeing. The correct and acceptable answer should be psychiatrist. The most common answer a person gives when they don't want to treat a condition medically is they can not afford a psychiatrist, or they are afraid their parents will find out if they go to one. That is a just a way of saying it is out of the question to treat their medical condition. Don't buy that answer, because it is just a crock.
Another good question to ask is whether you can go with him to 'therapy', which is a nice way of asking him to proove it without having to use such harsh words.
One thing you need to understand is his burning himself with cigarettes has nothing to do with his wanting to 'raise his endorphin level'. If he's in pain he would logically do that by taking an asparin or advil like everybody else does. There seems to be a common thread with people who deliberately harm themselves, when they are told they harm themselves because they are depressed, they deny they feel any type of depression. Perhaps they can't recognise the feeling of depression, or like with other serious mental illnesses, they are in denial. A person can never get well as long as they deny any aspect of their problem.
There is nothing wrong with going out with someone who has a mental illness as long as they beleive you when you tell them there is something wrong and that they need help and they heed you when you warn them that it's time for them to take action. Most people who are mentally ill don't want to get help because they don't want to acknowledge to themselves or the people around them that they are ill.
Unless he sees a psychiatrist, the relationship will simply stall and go no where and you will just be a codependant. If he really wants to have a normal relationship with you and move forward with you and life in general he will get the help he needs. And if he won't heed the advice that it's time for a doctor, there is nothing you can do to help him. Some people don't want to get better because they enjoy what they do to themselves. If you read some of the posts here in the forum you will see it is a common thread. They claim they aren't depressed and feel good when they hurt themselves.
Only a real doctor, a psychiatrist can help him because only a psychiatrist can prescribe medicine. If he doesn't want to get better his answer will be either there is no medicine to help it, or he doesn't want to take medicine because the side effects are worse than being sick or worse than what he's doing to himself right now. That is denial.
Only you can decide what to do about the relationship. If the relationship means something to you, take charge and stear him in the direction he needs to go in to get better and be there for him when he needs support.
And a good idea would be to tell him you don't talk the way in which he talked to your friend about having sex, that you find it unacceptable and won't tolerate it. You don't need to be over emotional about it and make it a big speech. Just say it simply and firmly and he will believe you