Hello, this is Emily.
In oder for parental control to work, you, as family organizer, need to stay on this device as an administrator. And then you need to go to Settings > Accounts > Family, and look for your son's account (that is I assume he's already in your family group), change his sign in to "can sign in". Then restart the computer, and he will have his user to sign in on the lock screen.
It is very important that you don't get rid of your account on this device, and also you don't set him up as admin, otherwise parental control will not work.
Also worth noting, apps, games are tied to each Microsoft account. So games you downloaded with your personal Microsoft don't work with his. He will need to download his own while he signs into his own user.