The only correct option here is "sad to see him go." To be "sad to see someone go" (or "sorry," or "glad," etc., to see them go) is sort of a fixed expression. It means that you are sorry that the person is leaving. It doesn't mean that you literally watched the person leave. If you find out that someone at your job is retiring, for example, you can tell the person, "I'm sorry to see you go." It means that you're sad that the person will not be working with you anymore.
If you want to say that you were sad to literally watch the person leave, then you'll need to say so more clearly ("It was sad to watch him walk away" / "It was sad to see him leave the field for the last time" / etc.). "It was sad to see him going" doesn't really make sense unless you add more information (e.g. "sad to see him going to work so early"). Otherwise, it sounds like you're trying to use the phrase "sad to see him go," but you've made a grammar mistake.
You can't say "see him went." In general, you can't use past tense after a direct object. You can see a dog run, or see a dog running, but you can never see a dog "ran." (You can see a dog THAT ran, or a person WHO went, but that changes the meaning of the sentence.)