Would the son be sinful if he moved to live in the city despite his parents feeling let down, knowing that his comfort lies in that?

The rights of parents are great, and striving to be dutiful to them and avoiding anything that harms them is an obligation. Your moving to another residence is not sinful if it serves your interest and does not cause them harm, and if you fulfill their rights regarding dutifulness and communication. However, if the time for moving has not yet come, there is no need to raise the topic, which might sadden them. Instead, postpone it until it becomes feasible, then persuade them gently and kindly, clarifying that you will not fall short in fulfilling their rights.