Oh, the irony. When I met my husband, I'd had my hair chemically straightened. My hair was one of the things he'd noticed about me, b/c it was long and thick, he thought it was really pretty. I got tired of the straight hair, though, and started styling it curly every once in a while. He told me he PREFERED my curls.
I also have a hard time understanding why he met you as a curly, but gives you a hard time about your curls. My guess is that he really likes YOU, and you probably shouldn't break off the relationship for it. BUT I would definitely talk to him. Ask him why he started dating you if your curls bothered him so much. Explain that your curls are a part of who you are, and when he complains about them, it makes you feel really bad. If after having a sincere talk with him, he still harrasses you, then I would take it as a sign that he doesn't care how he makes you feel. Only then would I start thinking about whether or not it was a relationship for me.