I would definitely keep going!
Until he gets more confident, though, I would keep him in a corner by himself and body-block any dogs who come over to investigate. Let your pup know (by your body language) that you will run interference for him and he has nothing to worry about.
Don't stress over him not doing everything that the other dogs are doing. Instead, reward - profusely! - calm behavior. When you've got that, reward for small amounts of attention on you : a brief glance in your direction = "Good puppy! You're the best puppy in the world!" and then build on that.
DO NOT LET YOURSELF GET CAUGHT UP IN COMPETING with the others. This is all about making your pup more comfortable. If it takes the whole time to get your pup okay with being there, so be it. You can always retake the classes.
Let us know how it goes!
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