I taught in a Waldorf school after assisting in the kindy and wonder what the teacher says? I know most Waldorf teachers do not want parents to remain all or part of the time, because of the nature of the kindergarten day. How is he once you leave, or have you tried that? If it is only the first month of school, I would keep at it and see how it goes, depending on what the teacher says.
We had a just-four year old boy start kindergarten and was quite vociferous about how horrible it all was. At the time I thought his mom was a monster for forcing him, but in a few weeks he was fine. He was also fine each day after about twenty minutes, and of course we were very kind and sweet to him while he was upset. He would grab the doorjamb on his way in and about knock his mom over. She had older children so was unfazed - she knew what was best for him, and that for his personality, this was how it was going to be. I later got to know her and found her to be one of the most devoted AP moms around. When it comes to it, only you know whether it's just not time or ok for your child to have a bit of a hard time for a few weeks.