Mental illness can be a burden on patients and their caregivers or families. Your boyfriend may be right in stating that he feels better on medications than off it. Paxil is a safe and effective medication that is useful in the treatment of depression and anxiety/panic attacks. Unfortunately, Paxil may have possible sexual side effects such as those you describe, in which case replacement by other medications with little or no sexual side effects (such as Serzone or Remeron) may be considered. According to the Physicians Desk Reference (PDA, 54th edition, 2000), studies on Paxil in male rats showed a possible increased risk of lymphoreticular tumors, but the relevance of these findings to humans is unknown.
You may consider asking your boyfriend if you can accompany him to appointments, to discuss your concerns with his treating physician/psychiatrist.