You seem to be very focused on gender roles. It's an easy habit to get into, I've seen many parents hold up similar lists in the hopes that it'd hold the answer. I'm afraid that there is not a checklist of "girl traits" and "boy traits" where you tick which ones your child fits to determine their gender. Trying to do that can cause a lot of heartache. There are feminine boys and masculine girls.
One thing that may help you is to realize that gender is not a bunch of stereotypes. Your daughter may grow up to love spiders and trucks and hate dresses and still identify fully as a girl. If that happened, you probably wouldn't be bothered very much and would just love your daughter for who she is. We're not only less comfortable with men expressing femininity, but it's also difficult when a child specifically expresses cross-gender identification. I imagine if your daughter were the one who liked princess dresses and princess peach but not barbie dolls or makeup, you wouldn't be here fretting about your daughter's gender.
There are many different ways to be transgender. Some cross-dressers identify as transgender, even if he grows up to be a straight man who just enjoys wearing dresses he may still be transgender. It's possible that your child is genderfluid or bigender- since he's comfortable as a boy, but also has a female side he wants to express. It sounds like he sometimes intentionally chooses things because they're "for girls" ("He seems to always want to know what is female and what is not and will always choose the female version of it")- so it's not that he's just a boy with feminine interests, he seems to have a specific desire to express femaleness. If he just had a lot of feminine interests, it would be possible (it still is possible) that he is just a feminine boy who has learned feminine=female and thinks he has to say "I'm a girl" to be allowed to play with "girl toys". Even if you never intentionally taught him this, it can still happen.
Have you had many open talks with your child about this? Also, have you stressed to him that he's a boy? It may be that your child has a firmer female identity than you realize, but has been taught to also hang onto the boy identity.
Consider looking into finding a gender therapist in your area who works with children. There are still some therapists who push "reparative therapy" that is incredibly damaging, so be careful. The therapist should be open to helping your child accept who he is- not trying to force him to be a "normal" boy. The therapist shouldn't go in expecting your child to be transgender or cisgender, but should only want to help your child come to understand and accept who he is. This therapist can help with navigating social situations and school and such as well. (and also should be able to recognize if there are any problems that aren't related to the transgenderism)
"We are just confused. It is hard on us since he seems not to play very well with others. The boys are all about rough housing and the girls (don't know why he does not have more girl friends) he does not really approach."
It may be that he doesn't feel comfortable doing so. Children pick up very early on gender roles even if we, as parents, try not to teach them. 2 year olds can already know that pink is for girls. Your child may realize that he's not supposed to play with girls, or may be afraid of rejection (or may have faced rejection that you didn't realize) because he's not one of them.
Some children are also just very introverted. Have you ever tried doing one-on-one playdates, is he willing to interact then or does he just not play with kids at all? This may be totally unrelated to the transgender issue, it sounds like he avoids all other children, you may want to speak to his pediatrician about it. This sounds like a social development issue.
" He is not coordinated and so sports have not been of interest to him."
This is not likely a transgender issue at all. If his coordination isn't developed the way it's supposed to be, you should probably talk to his pediatrician. Although girls tend to get pushed away from sports, they're still encouraged to do things like dance that require coordination.
"We want to accept all of who he is, it is just challenging when you know how much he could potentially suffer . Thanks of any advice."
The landscape is changing a great deal. Laws to protect trans people are increasing and improving. There's an increase in the number of trans celebrities and they're beginning to be visible even in the mainstream media. There are more companies that are putting in protections for transgender employees and hiring them. There are more places that trans people can live in relative safety. Things have changed a lot since I came out in 2007- imagine how much they'll have changed in the next decade. If your eldest does turn out to be a girl, she'll likely be able to transition before she starts puberty and have a much easier time being accepted for who she is. If your eldest turns out to be genderqueer, there's an increasing awareness about that as well. A lot more kids are growing up with classmates and friends and cousins who are non-binary. Our childrens' generation will be much more accepting than ours.
Yes, there will be difficulties, but it's not like it used to be. All people can have difficulties in their lives.
You might want to read this comic: http://princesscomic.com/
It's about a young transgender girl, and one of the plots is her mother's path to acceptance. Her mother is painted in a very sympathetic light. Even when she does the wrong thing, it's made clear that it's done out of love and that all she wants is to protect her child. The comic also has a genderfluid character and is beginning to touch on that more.