There are a lot of antidepressants. Often Paxil is chosen because it works well on anxiety with depression. But, if it is causing sexual problems, he should talk to his doctor and have the medication changed.
I know years ago, I was on Prozac and could get excited, but had a really hard time having an orgasm. I told the doctor, "This is not a side effect I can tolerate." We tried a number of different meds, and for me, some didn't work on the depression, and one other one (Tofranil, I think) caused the same orgasm issue.
Zoloft worked well with no side effects. He may have to try several, but he should let his doctor know he is having sexual dysfunction from the Paxil. A good doctor wants the patient completely functioning, sexually and otherwise.
Every one responds differently to different medications so they will have to try things until his anxiety and depression are helped AND he is not having intolerable side effects.