I think he means console him. In her outgoing message she says it's hard to console him because it's a crappy thing and he's a nice guy... etc etc
I think he was replying saying thanks but you don't have to.
Yes, but I detect a little "I really wish you wouldn't" in there too. I bet OP doesn't know how to woo a woman, or understand the concept of putting her wants/needs above his own. His family seem to treat him like a god, probably his whole life.