When an E-4 calls me "hey" or "hey man" knowing that I am an officer, should I bother to correct him?

Correct it on the spot, if you allow it once the soldier will feel like he can address you or any other officer or senior NCO that way

If in civvies do not be so sensitive. If in uniform then go with the correct address protocol. You earned your rank and are allowed to be respected.

To be honest unless you approve of crossing the UCOC , than don't bring it up and contribute to the degradation of discipline further than what you're dealing with now.

To me this is unacceptable. May he did not get the right military training!!!
Therefore, I will ask him to come in my office so we can chat. In my office I will ask him several questions about his training, brought up, education and more. What he learned in the military training?

Then I will put him in my position and ask him how he/she will react to "hay man"?
After all this, I will tell him this is military. We respect others. As an officer, I call Mike Anderson by his rank and last name. Sgt Anderson. As an officer I can call my junior by their first name but I call my seniors by Rank or Sir. I don't call ""hay man".
This is not only in the military, we respect everyone civilian.

"Hay man" is okay with your friends

I was taught that outside of work did not relieve someone of the responsibility for observing etiquette, if you know someone is an officer or higher rank than you. Even if you are in civilian clothes, proper etiquette requires he should call you sir unless it places you in an embarrassing or awkward situation.

If we were in cities AND off base. I never called anyone by their rank. I was still more respectful than hey or hey man, but I didn't say sir or any specific rank. Then again. I'm a firm believer in separating work from my person life.

He sees you as a man. E-4 Mafia confirmed.

OFF DUTY, ASK HIM TO CALL YOU BY YOUR NAME OR TELL HIM YOUR NAME
HEY OR HEY MAN DON,T CUT IT.

BBQ his ass. Disrespectful shit! Omg I’m old school. Even if you are prick respect the rank not the person at the very least. Saddens me deeply.

If you are both in uniform outside of work, i.e. commissary or such, then you should still adhere to protocol. However, if off duty out of uniform, that’s a subjective call, Maybe talk to them next time you see him and let him know that you would prefer them to address you as sir. No need to do it in front of others, just let them know. Now if after you have a talk with them and it continues, light them up. I have always given people one pass and a discussion. After that, well, arms got real tired cause they pushed until I got tired!