Why is Paul so sensitive and absorbed by the arts?

Paul's naturally sensitive because he doesn't feel that he belongs anywhere. He's out of step with pretty much everything and everyone—his family, his school, his social class, his whole environment. An additional factor is the death of his mother when he was just a child. This makes him sensitive to any kind of loss, be it emotional, spiritual, or financial.
The world of high culture comes to take on great importance for Paul. It's so far removed from his drab, ordinary, workaday existence that it provides a place of refuge, a place where he can indulge his fantasies and become somebody, instead of the nobody that he is. In Paul's mind, the arts are synonymous with the wealthy upper classes, whose opulent lifestyle he fantasizes about and wishes to emulate. Immersing himself in the arts, even for a brief period of time, allows Paul to feel at one with the gilded elite he so much admires.