You might be trying to translate it from the English "feeling sorry FOR HIM", in which case מצטערת בשבילו might make sense. Although the above sentence uses the word 'sorrow', try translating it as 'having pity ON HIM (עליו)' rather than 'feeling sorry for him (בשבילו).
Hope that was helpful. :-)
My understanding is that here we have the case in which a verb takes a particular preposition. It's an idiom that goes back to classical Hebrew (Psalm 103:13). Having said that, it occurs in Mikra without the preposition (1 Kgs 8:50). The use of that prep. seems to have become idiomatic in the resurgence of the language in Israeli Hebrew. If you hear it without the prep or with a different prep please let us know.