Ok, so what if you were to reframe and think of what he's doing as a passive aggressive/controlling behavior? I mean, think about it, he doesn't get his way and so he cries. This is not the same thing as having your feelings hurt because someone calls you a name or takes your toy or getting hurt.
He's got some control issues, it seems, and he's dealing with them in a very maladaptive way...in other words, he's having a tantrum just not the kind you traditionally think of as being a tantrum. He's smart and he's learned he will most likely get what he wants or get a cuddle or attention and any one of those 3 things will probably satisfy him in the moment.
If it were me, I'd get an emotions chart (maybe from the teachers store, they have them in their resources area) and I'd talk to him about how he feels in various situations (when not included with other children at day care, and when he is told to do or not to so something). If he doesn't identify "angry" or "frustrated" on his own, I'd guide him towards those faces on the chart and see if he can relate. I'd talk through these things with him and tell him that tears are ok sometimes (give examples), but when he's being told to not do something it's for his safety, he needs to listen even if he's (angry, frustrated) about it and when he feels left out or whatever give him some ways to include himself because crying won't help.
Then, I would explain to him that he needs to use feeling words instead of tears and if he resorts to crying I'd dispassionately place him on time out. I do this with my son and it is not an "in trouble" time out, I explain this to him...but a "pull yourself together" time out. I tell him as soon as he is done crying/tantruming whatever he can come talk to me or return to playing. I put him in the other room and usually he stops within a minute. It's great because now he will even put himself on a time out if he finds himself getting out of control sometimes.
It's really important, in my opinion, to not coddle him or reinforce this behavior in any way. I have a friend who's son does this (he's 4) and it is by far the most obnoxious behavior in the playgroup, it's upsetting to other kids, and it causes the 4 year old to be quite socially isolated.