Should I feel bad that I am not legally married?

It's not necessarily a bad thing if you're relationship is ok. In most places in the world people who have lived together for as long as you and have a kid are considered to be married anyway. But if having the paper that says you are married is important to you, you should definitely bring it up and not let him shift the focus. Tell him why it's important for you. If it's something you really need but something he never wants it might be time to move on.