He might get used to it in time.... I guess it is like when you stop wrapping, they need time to get used to that feeling. Seeing that he is nearly 5mths and probably close to or already rolling you will probably need to think about not wrapping when he rolls anyway so I would keep trying with the sleeping bag.

Iz has slept in one since 8 weeks- every night since unless it has been hot overnight and sleeps in it for day sleeps too now that it is winter. She rolls quite a bit and also sleeps on her tummy and has no trouble moving around. I know this goes again "bag" regulations but we have always used blankets on top of the bag in winter... maybe that would make him feel more secure, if he is in the bag and then you tuck in tightly over the top with a sheet?? We have cold nights here in Melbourne and our house gets cold, so Izzy has a polar fleece Bonds jumpsuit, socks, her 2.5TOG bag, plus 3 lightweight blankets over the top as well! Sounds like overkill but she has never been too hot overnight! Might be worth a shot and if you are worried about heat, just used a lightweight cotton/muslin wrap to tuck him in!
Good luck!