How to talk to PI about dropping out of graduate school?
One of the points I see in the above message, is that these feelings are so far entirely with yourself. I can of course not know for sure, but it seems to me at the moment that you have not talked to him about this yet.

You say, for example, he points you in 100 directions. I can empathize with that, surely, but do you know if he is doing this on purpose? Is he aware of this? Have you spoken to him about this?

I would say that the best way of opening this discussion is to actually open the discussion by telling him about your feelings. Perhaps he is willing to do things differently, perhaps he is actually afraid to be guiding you too much. All these things are now uncertain.

In any way, if you discuss these things (respectfully, aimed at improving the situation for the both of you), he gets to know you are not quite happy. If you decide to leave he knows you were not happy.

Also, I would like to agree with 101010111100, in that doing something that makes you predictably unhappy is a huge red flag.

Good luck!