Sometimes people simply don't want to be rescued... and that's where paradox is, because sometimes it's way, way easier to look on the situation when you're not feeling
love. Chemically love is really, really difficult and, most importantly, strong thing, and some hormones just don't let us see bad sides of our significant others. And maybe your friend would have understood all these things his girlfriend was doing to him, but, unfortunately, he may be too in love...
Just understand that you're doing what you can do right now. You're trying to help him, and if (if) you feel that you're not doing enough, that's wrong. Thank you very much for trying to show him that idea of returning to his ex was bad.
Please, take care of yourself, too. Being HSP is hard, and you should give yourself a good rest *hugs*