First of, please don't get scared of replies that have criticism, even when it sounds nasty. Some may only sound harsher than they are actually are. People here can sometimes be jaded cynics, but they're actually really nice and helpful

As for your friend, they were right. Don't treat him as a "gay friend", threat him as any other friend. His sexual orientation is not his only nor defining trait. Don't automatically think of him as someone who does theater, goes shopping, chugs cosmopolitans or stuff like that. No one likes being stripped of all their virtues and personality and made into a stereotype. He is a rounded, three-dimensional character just like everybody else.
I believe your compassion and altruism are genuine, but thread carefully there. A friendship can not only be based on comfort and sympathy. Don't befriend someone just out of pity. Maybe he isn't depressed or lonely at all. Perhaps he just enjoys solitude. He could simply be an introvert.
I don't think there will be any sexual tension between the two of you, at least as long you're not interested in him. He could express interest in a woman's looks, but more like "she is pretty/beautiful" and not "dude, I'd tap dat"

So don't worry about that.