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Though he knows his own limitations (as prescribed by his shyness), he also knows what a typical man is "supposed to do." So he recognizes, too, when you are doing it for him.
This will offend him if you flaunt it, or if it is evident due simply to the social magnitude of the task you've assumed (for example, if you take his hand and lead him through a crowd).
Once this happens, you will need to gradually assume a less assertive (more traditionally female) role, because he will then be more liable to get bored with you, wonder if he could do better, consider his other options (the perception of which his newly-found confidence will likely inflate), fool around, etc.
So be careful about how much (and which) initiative you take.
In general, you will need to carry the relationship up until the point that it is "official." When it has been established (or is otherwise clear) that the two of you are together, then you should start reducing your initiative and letting him take the reins.