Could the little boy also say "Εσένα δε θέλουν, μπαμπά." ? Or should he insert the additional pronoun in this case?
"Εσένα
δε θέλουν, μπαμπά.". This (with δε) is unnatural structure in Greek. I guess you wanted to write "Εσένα σε θέλουν, μπαμπά". This is unnatural as well. No weak form of the pronoun in this situation, but only "Εσένα θέλουν, μπαμπά". But in another situation with contradistinction, where emphasis is needed, that is OK, e.g Εμένα δε με θέλουν, αλλά εσένα σε θέλουν, μπαμπά".
Είναι προτιμότερο να μην το κάνετε αυτό: This is done (maybe), but it is preferable that you do not do it. 
Εμένα δε μου το δίνει το βιβλίο: The book is given, but not to me. 
As long as there is the strong form of the pronoun at the beginning, this means the speaker wants to contradistinguish him/her with somebody else; we are only talking about the book, which is not given to him/her, but to someone else, someone else will be the receiver. The sentence "αλλά το δίνει π.χ. σ' αυτόν" could be added, or left to be implied. This bears a sort of complaint.
Είναι προτιμότερο να μην κάνετε αυτό: It is preferable that you do something else than this.
Even if you want to go on with a sentence "αλλά να ...", the structure with the προληπτική προσωπική αντωνυμία [να μην
το κάνετε αυτό] is preferable.
Εμένα δε μου δίνει το βιβλίο:Something is given to me, but not the book. 
Here, the speaker wants to contradistinguish what he/she probably wants with what the giver chooses to give him/her. The receiver will be the same, but the thing-object will be different. The sentence "αλλά π.χ. το τετράδιο" could be added or left to be implied.