I have a daughter exactly the same age as your son, born Jan. 04!
I have searched for books on child development, and the only one that addresses 4 year olds is called "Your Four Year Old, Wild and Wonderful." It's not a good book, so I can't recommend it, but the title alone gives you some idea of the four year old personality, which I see in my daughter and also in your description of your son.
First I think he's perfectly normal (he sounds delightful) and you aren't doing anything wrong. I have those same doubts every day. I try to remember that they are just thoughts, not the truth, and that I interact much more joyfully with my daughter when I can let worries and fears go.
Many parents I know deal with the genital touching issue by having the kids do that in their rooms. That seems to introduce, in a gentle way that doesn't induce shame, the idea that private parts are private.
The eating and mess issues seem absolutely typical for his age. I just provide a range of foods (hummus, fruit bars, fruit, nuts, broccoli etc) in a muffin tin in the fridge and she can grab what she wants. I wouldn't expect a 4 year old to clean up the entire mess without help. The mess is not a problem for them, just for us adults! So I say, I need it clean now, would you be willing to help, and often she does.
My daughter is overly cautious rather than hurting herself, but I think these are just two parts of the spectrum of learning about their physical boundaries and what their bodies can do. Even what it feels like to bump, bang, and scrape themselves. My daughter often asks me to scratch or bruise her. Of course I don't do so, but we put makeup on to look like scratches or bruises sometimes. The book I didn't recommend above talks about this a little.
As for the sleeping, I cosleep with my daughter still also. She doesn't show any interest in sleeping alone and I think this is perfectly normal. I used to live in Mexico, and children there are not expected to sleep alone at this age. This is the age of vivid dreams and even nightmares and it's natural that a child would seek comfort at night.
We aren't doing preschool either, and I don't think it puts your son "behind" to not be in one. In fact, it's been shown to be beneficial to social skills to have less time in such settings.
I hope you get many responses to help you feel some relief from your worries! I've had them all too...been there. Feel free to email me if you want.