If you can do this in a way that is non-confrontational

you’re likely to have better success. You’ve already discovered what confrontation does – it leads to dug-in heels. (Sorry, but the question about his upline being a friend without buying CDs is confrontational. OF COURSE, his answer would be “Yes.” He doesn’t know otherwise right now. My wife and I thought our upline would care about us, too.
Haven’t heard from them in over 6 years now.)

There’s an old expression that, paraphrased, says, “If I tell you it’s true, you can doubt me, but if YOU find out it’s true, then you must believe it is.” If you tell him it’s a scam, he can choose who he wants to believe. But if he finds out *on his own* that the claims that it’s a scam are true, he cannot doubt it.

Be gentle and lead him to find the truth on his own. Then be there for him when the light goes on. He’ll need support when he exits. And above all else, don’t offer anything that resembles “I told you so.”