You may want to explain the benefits of actually lowering the intensity. The types that always feel that they need to go all out tend not to allow themselves or others the opportunity to learn to apply things in a free flowing environment. You need a live, yet low-pressure, non-competitive environment in order to develop good intuition and an understanding of a wide variety of principles or techniques. Essentially, "play" is important to develop many attributes. Refusing to do so is just denying yourself a lot of great learning opportunities.
I've touched hands with people lacking control on a few occasions. In the Wing Chun world, they tend to be individuals who try to overpower you with strength, or, more commonly, speed -- executing whatever combinations they know as fast and sloppily as they can get away with. I'm not even that experienced, nor the most "sensitive" individual, but even I can find holes everywhere when people do this, so I just give them a bit of extra forward intent and let my hands shoot in. I've gotten smacked with uncontrolled punches in the process a few times, but made my point nonetheless.
The thing is, though, that it's probably better for everyone if you correct them on the spot. In one case, I rolled with just such a guy (from a visiting school) and, after initially being surprised by the level of intensity, took advantage of his poor structure and sloppy technique and connected with a few solid palm strikes to make my point. But later that session, he was paired up with someone else who he wound up hurting. So, it would have been better for everyone had I simply corrected him verbally, and in a more direct manner.
I'm by no means that experienced in any of the arts that I study, but I will correct my training partners if I feel that I notice something that they don't, or that I can help them in some way. I've found that it's almost always appreciated. After all, that's what pairing up and practicing is about. So, just explain to him the benefits of going softer next time.