All babies are different. Go according to the nature of your baby.
NOT all babies sleep through the night. Don't compare your's to others.
Sure, they say that by now, a baby does not have to feed during the middle of the night, and you can "train" him that way. But for me... if my kids were hungry, I fed them... on demand, still. To me, a baby will naturally start sleeping through the night... when they are ready, and a baby knows when they are hungry. Sure, you can use consistency and methods to "make" them sleep through the night... but then, this can sometimes over-look what a baby really needs at any given time. You have to be able to "adjust" too...to your baby... instead of sticking just to a "method."
Some babies just will not go back to sleep until they are fed. I have 2 friends, whose babies were constantly waking during the night and fussy... and not happy, but the parents would not feed them for fear of getting into a "bad" habit. Well... in one case, the Pediatrician told the Mom to get up and feed her son, that if the baby is waking, they need more intake. For the other case, the Mom starting increasing the amount she fed her baby...and lo and behold, the baby started sleeping better and was less fussy overall, and then started to gain better weight (he was a tiny baby). So...that is the hind-sight they experienced.
In our case, our Pediatrician advises feeding on demand for the first year.
I think it puts extra hardship on Parents when they expect a baby/child to sleep through the night, as a "norm." Because in reality, LOTS of babies don't sleep through the night. Or they will when they are taught that their needs will not be met. But I know everyone has different perspectives on it.
*If your baby is crying until he is being fed, as you said... then there you have your answer. He's hungry. You need to feed him. I don't think any adult would sleep very well either, if they were hungry and/or starving during the night. A baby needs to feed, if that is what they need. I personally would not deny a feeding, if that is what a baby needs...just to make him sleep through the night... at that point, who is the method for? Parent or baby?
All the best,
Susan