New Answer:
Ok, now that I read your SWH, I'm going to completely change my answer. Preschool and kindergarten and very much about teaching kids how to interact with other kids, listen to a teacher (an adult that isn't their parent), following a routine, following directions, learning through play. Of course we want kids to be learning their letters, numbers, shapes, colors, etc., but these years are so much more about the social side of the world. The academic concepts will come through stories and games.
It's important to know that coloring and art require fine motor skills that many kids do not have yet. That's ok. Exposing them to those things and asking them to try is important. When my son was in preschool he had zero interest in those activities. Other kids would want to color and would do the art project of the day and then want to do another art project during their free choice time. My son would do the required project of the day (just do the basics) and off to the toys he went. The teachers reassured me that this was completely age appropriate. He's now 10, loves art and has better handwriting than anyone I know. He just wasn't ready or interested.
I didn't to much, academically, at home. We read books every day. We had conversations, and I answered questions. I did invite him to color and did try a few art projects at home. I just tried not to push anything.
I can completely understand why this would overwhelm you, having not experienced "traditional schools" yourself. Keep talking to the teacher. Voice your concerns. The teacher will be an asset to you.
I think I would consider telling the teacher your background. It might be very, very helpful to the teacher to know that you went to a very different school. Some teachers will assume that your experience is in the public schools. This will help them explain things differently and alert you to something you might not notice otherwise.
Original Answer:
Talk to his teacher. Find out what she(he) sees. He might be struggling with something at school, and she(he) might be able to give you some real incite that will help.
It's important not to overreact. It's hard to see your baby so sad, but remember, school is simply not an option. I would be very hesitant to let him stop going. You don't want to give him the idea that he can just not go to school.
Kids go through phases like this, and there could be something going on at school that could be very easily addressed. Listen to his teacher, and just keep loving your son.