I went through this with one of my twins. They too were born four weeks early, and for a bunch of different reasons, I eventually went to formula.
It happened with my little girl. We were first on the similac regular (blue can) but my daughter had horrible gas issues, and so we switched to the soy formula reddish pink can(I wasnt aware of the sensitive--orange can). With that it was horrible, she hated the taste..it was a battle to get her to drink it, and though she didn't have gas anymore..her constipation was constant, though she was able to go on her own with some severe pushing. She was maybe 2-3 months old at that time. Finally, we switched her to similac sensitive (its milk based, but lactose free) and it was like a godsend. No more gas, fussiness, constipation and she ate it with no issues. I would suggest you make an appointment with the ped. and explain then the reasons and your concerns, and the issues you had with the formula. It is always a good idea to talk to the babys doc before blindly switching to a new formula. I really hope you get it worked out though.
One thing that worked for my little girl was to give her some Karo corn syrup in her bottle..either dark or light. It does add some extra calories, but it softens the stools. Maybe mention it to the doctor?..I know they all have different opinions on that.
Good luck, I hope you are able to get your little guy doing better.