Dear joanna,
A left to right shunt should not cause cyanosis. Has his blood oxygen saturation been measured? Perhaps it is normal and he does not have cyanosis.
Babies with heart problems certainly can have difficulties with feeding and I would think a cardiology follow-up would be a good idea. Most PFOs close over the first few years of life but some may persist to adulthood. In general this is a benign heart 'defect'.
Increased pulmonary pressures could cause right to left shunting. The best way to check for this would be with an echocardiogram.