My completely unprofessional and unqualified opinion is that you should go to visit him. If you cannot reach him at home, I would suggest contacting his parents one more time to see if they've heard anything, and to discuss the possibility of reporting him missing or having the police make inquiries as to his whereabouts.
As far as pushing him into a shell goes, I think that, if he does consider you his best friend, he will welcome or at least tolerate your efforts to help him. At the very least, if you do contact him you'll have a better idea of what you're up against, and what you can do to help. I don't think it's of any benefit to leave him to his own devices. Depression is typically a downward spiral - he won't be able to pull himself out of it alone, and the longer he's left alone the more danger he may be in.
Check in with his family again regarding your intention to take further action, but realize you have as much right to be concerned about him as they do, and don't be afraid to take steps on your own if you feel they are warranted and your friend's safety may depend on them.
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