I know people like that, and it can be truly annoying. I agree that "honesty is the best policy", so you should talk to him.
However, there are a couple things that you should consider.
SETTING UP YOUR GEAR:
Is he setting up your gear because he thinks you can't do it right? is he setting up your gear because he thinks you won't do it as well / fast as he will? Is he setting up your gear to practice for when he has students? Maybe you should ask him why he is doing it. Maybe he doesn't even realize that he is treating buddies like students.
I won't condone the stabbing, but some people swat a misbehaving dog with a rolled up newspaper. That might get his attention.
I suggest mentioning something my mother taught us as small children: "Make sure your help is wanted before you give it".
On his return drive lectures, I would probably let him know that while I appreciate his concern for my safety, he is making diving "not fun!". If you are exhibiting unsafe behaviors, that is one thing, if you just aren't diving "perfect", then that is a different matter, and he needs to lighten up.
In all seriousness, he needs to know that he is taking the fun out of diving for the two of you, and if he continues, he will need to find some new dive buddies. Sounds like the two of you have compatable styles, and you have fun. He can join your fun or go his own way.
Just my opinions, and only because you asked.
Wristshot