How can I guide a friend who has returned to disobedience and abandoned acts of obedience, and who is bothered by direct advice? And what is the ruling on the feeling of intense distress and sorrow that has afflicted the questioner due to his friend's condition?

You both did well by closing the door to Satan, and may you be rewarded with goodness. If what you mentioned about your friend is true, then he has fallen into Satan's trap by watching films that are unlawful according to Sharia, listening to forbidden songs, going out with his female cousin, who is a non-mahram, and dancing with her, and not waking up for Fajr prayer as a result of these unlawful acts. This falls under the statement of Ibn Abbas: "Indeed, for a bad deed there is darkness in the heart, blackness in the face, weakness in the body, a constriction in provision, and hatred in the hearts of people." You did well by being keen to advise him, so be wise in that, seek help from Allah, and choose the appropriate time for admonition. Exert the effort and leave the matter to Allah, for your duty is only to convey the message.