This is something which comes up frequently with Nathan. If he gets hurt or upset, he immediately wants to quit the activity and not come back. Usually I push him through to finish whatever is going on but I wonder if I'm sending the wrong message. I do think it's important not to let obstacles stop you and with depression in the family, I also think it's important to understand that sad/hurt feelings don't last forever and can stop you from doing fun stuff if you let them.
But I also want to teach him to listen to his feelings and respect them. If he is genuinely not having fun anymore at a particular event, should he really have to continue it? Especially if the event is open-ended without an actual end point or one which is far into the future.
A few years ago, we signed up Nathan for a year's membership at a karate studio. He had enjoyed the initial few lessons, the sensei had a good rapport with him and the emphasis was on having fun rather than skill performance. It sounded like a good deal all around. Halfway through the year, the sensei switched to one who was more intensive. It stopped being something which Nathan enjoyed. After a few tries (and one attempt to suggest alternatives with the sensei, which turned into a dismissive confrontation), I allowed him stop going even though we were under contract to continue paying for the rest of the year.
That one was a relatively easy decision. No one should have to put up with bullies of any stripe and I consider penalizing five year olds for not being super focused and not taking their "training" seriously to be bullying.
It's harder when it's something intended to be fun and Nathan has simply had enough. On the one hand, want to respect his feelings and not trigger tantrums. On the other hand, some of these opportunities are not things which will readily happen again. Given that he tends to be easily discouraged, I want to make sure he's giving activities and opportunities a fair try. Yet just because he can do something doesn't mean he has to.
It's a delicate balance and I'm sure I'm not getting it right and won't be getting it right every time.