My nine-year-old son doesn't want to sleep in his own bedroom. Is this good for his self-esteem?
Self-esteem is just a nicer way to discuss pride (see Self-Esteem for more information). A Christian parent should not be concerned with developing or maintaining a child's pride.
The question should be, is it good for a child to be sleeping with his parents? There are cultures where families are unable to afford private sleeping areas for members of their family, but since you mention that he has his own bedroom, this is obviously not the case where you live. Even in cultures that share sleeping areas, they do not generally share their beds, except with their spouses. The reason we have private sleeping areas is that parents need their privacy. For example, while sexual activity is proper within a marriage (Hebrews 13:4), a child is better off not knowing about it. Also, a child needs to learn boundaries. There are proper and improper times to interrupt people and intrude on their lives. There are proper and improper behaviors to be displayed. Therefore, it is best to have your children sleep in their own beds.
In addition, you must realize that soon your son will begin to develop sexually. He will want his privacy. It might be cute to have a small child cuddle up with you and fall asleep in your arms. But when that child becomes sexually developed it is no longer cute. The knowledge of good and evil intrudes on that relationship.
Under the Old Testament law, there is a reason why there were laws that stated: "None of you shall approach anyone who is near of kin to him, to uncover his nakedness: I am the LORD. The nakedness of your father or the nakedness of your mother you shall not uncover. She is your mother; you shall not uncover her nakedness. The nakedness of your father's wife you shall not uncover; it is your father's nakedness. The nakedness of your sister, the daughter of your father, or the daughter of your mother, whether born at home or elsewhere, their nakedness you shall not uncover. ..." (Leviticus 18:6-9ff). It is not so much that God doesn't want family members to see one another without clothing, else changing a baby's diapers would become very difficult. The implication is not to see family members in a sexual way. Thus, as children develop they need to learn to keep their bodies private. Not that this is all that difficult, children naturally develop shyness about their bodies just before they reach puberty. Instead of being fought, it ought to be encouraged. Sharing a bed is too intimate for family members capable of having sex.