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

If you are both off duty and both in civilian clothes you shouldn’t salute or address each other by rank.
If both are in uniform you definitely use proper military courtesy.
If one of you are in uniform and the other in civilian clothes, it would be proper but not mandatory to address the uniformed individual by rank, but no salute.
Grant it, I have been out of the military for a couple decades. A lot of things have probably changed since than, especially if the military unfortunately goes woke.
God bless you all.

Simple in combat you better duck or get a bullet where your bars are... been there... rank is only a custom, war is survival.

YOU sir are an OFFICER and That demands RESPECT. At least That was what we were taught at Basic. It should NEVER EVER Happen. I would Verbally Correct him once then if he Continued, I would Make him drop and push the world. Evidently he Did NOT get the Concept of Rank in Basic and would Have to Give him a Crash Course. Also, who is IN charge of this Soldier and Ask them to Give him a Crash course or The NCO in Charge would also be Taking a Crash Course in Military Ranking system.

not only should you the NCO should lock him up and educate him on custom and curtsy

Well this kind of depends. Were you uniform for him to actually identify you? If you don't work directly with him as stated maybe he remembers your face but doesn't remember you are an officer. If that's the case then no don't correct him as he is being polite and semi respectful acknowledging you and your service.

Now on the flip side, if you were in uniform or for sure he had no doubt that you are an officer then you absolutely need to correct him.

If you do correct him, do him and your a favor and do it on the side away from people. Don't make him look like a total POS because he might not have been sure you were an officer. Also don't make yourself look bad by chewing his ass infront of everyone like your some power tripping jack wagon looking to make a name for yourself. After all, at some point your life could be in his hands.

Yes need to be corrected. Old saying when In doubt wip it out. Being in the Army stationed with Navy, Airforce, Marine Coastguard was always a challenge to recognize diffrent insignias. Was always confused between a navy senior cheif and an Navy Officer but never took offense to being corrected. Only incident I had, was I called a Lieutenant Commander, "Commender ", the LT Commender corrected me informing me he was a LT Commander not a Commander. I did talk to a Navy Captian about Navy protocol so it never happened again.

This happened outside of an in uniform or military situation/setting, no harm no foul.

One may not respect the person but you damn sure better respect the rank no matter where you are. I flew with several pilots and when we were in the air ONLY they'd tell the crew to use their first name or call sign. But on the ground you always used their rank and last name. Or for those up to Captain you could call them Mr. Brown instead of using their rank.

I would say "Yes" "Absolutely"
I was marching my squad to the track park for daily PMCS on our APC, when I failed to acknowledge a "Butterball" traveling the opposite direction. He stops me ....corrected me on the spot. Gave me the military courtesy spiel, then peeled away without returning my salute when he dismissed me.
CSM was witnessing the incident, as I called back to the LT., holding my salute.
CSM chewed his ass out like he was a red-headed step-child.
Maintain your tact, and be sure you are squared away.

CPT (Join to see)
I'm shocked you felt you actually had to pose that question, when your response to him should have been instant and automatic.