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

"hey man" is something an E-4 uses to address his peers. I never considered any officer as peer when I was part of the E-4 mafia, so my E-4 mentality suggests you take the soldier aside, and politely but firmly explain the difference between an "acquaintance" who is an officer 24/7, and a "peer" who is enlisted 24/7.

Definitely nip that E-4 idiocy in the bud and correct him on the spot.
When I was an E-4, I would never have dreamed of addressing an officer without using "Sir" or (in your case) "Captain".

Correct them immediately…. Who wants to follow someone known as “hey man.” Mutual respect is the key…likewise you need to be respectful and professional to everyone regardless of rank…hey man is disrespectful and unprofessional and if not dealt with will poison your ability to effectively lead…

Sir, with all do respect if you do not correct him, I then would have to correct both of you.

You should Correct them in a positive manner and if it continues let their NCO know.

humm , i had an experience when one of my fellow Nco,s invited me to his daughters birthday party , he also invited our LT and his family since they had kids their age , i greeted the LT by hay sir ! he shakes my hand and quietly lets me know to call him Robert by his first name ,that never happened to me but i guess he was there as an informal situation. He tested me out by asking me a question using my first name and i answered by using his first name. but that was the only time in twenty two years .

I have a female cousin who was married to a service member who was a 1st SGT. Even though I was a retired LTC I always referred to him as 1st SGT. Even at family functions. Just seemed he deserved it

I’m a retired LTC and when I happen to engage with a person of higher rank I still render proper respect and courtesy regardless of being in uniform or not, until the individual states the recognition is unnecessary .

If you don't step on him hard, he will not get the message.

Well, Officer Hayman, what does your gut tell you?