It sounds like there is a lot going on and most of it sounds very concerning.
Codependence is bad. Hinting that he will die without you is bad. It’s either seeking pity, attempting to control or manipulate you, or a genuine mental health issue. Tickling, biting and punishment are bad. If you are not enjoying and consenting to those things and he knows that then it’s a form of abuse if he continues any of those things. Being possessive and jealous are bad.
It sounds like he’s been engaging in a lot of tactics to control you.
You can love someone and it can still be best for both of you to not be together. If he is an incomplete non-functional person without you that is his issue. He needs to fix that. It is not fair and not your responsibility to try and fill in the rest of him to make him a whole person. If the things that make you happy, like concerts and the city, upset him so much that seems like a significant issue as well. You both need to be able to do things to fulfill your individual happiness in addition to your joint happiness. If you doing the things that make you happy makes him unhappy that is incompatible. If you give up the things that make you happy for his sake that’s still incompatible. Being together shouldn’t depend on one of you being unhappy.
It’s impossible to give perfect or absolute advice over the Internet. However I suspect you should trust your conclusion that your lives are heading in different directions. I think it would be good to discuss the things you have mentioned here with your psychologist. They are presumably a competent professional and can go into greater detail with you. In the end though a relationship has to work for both of you. If you give up the city and concerts and devote yourself to staving off his depression or self harm then you will wither and eventually resent him.