Where to start...?
Firstly, OP, yes; your DS is immature. But you know that. And you know that he's immature because you've encouraged him to be. However, he is also an adult. Legally capable of making his own choices/decisions without his Mummy there to hold his hand/tell him what to do. Do him the biggest favour you will ever do - and back off. Let him screw up his life, if that's what it takes for him to begin taking some personal responsibility for the choices which HE has already made. Because he really does need to start comprehending the small fact that the biggest consequence for having unprotected sex... is a baby being born some time later. That child? Isn't your responsibility. You have no rights over it.
Secondly... I'm going to tell you a little (completely true) story now. And I really hope that you take the message I'm trying to impart here and understand it's meant with all the kindness left within the depths of my heart.
I was just short of 20 when my DD (19) was born. Her biological father was just like your son - a Mummy's Boy. I was also using hormonal contraception and refused to have sex unless a barrier method was also used. But, y'know, life happens. I ended up pregnant just after we'd finished our 'A'-levels. We were both adults - which is a key difference to your scenario, I confess, but... my DD's biological father was, like your son, very immature. He'd never held down a job, his parents treated him like a little demi-God, and he was arrogant beyond belief because of it. In hindsight, I have no idea what I ever saw in him. My parents encouraged me to start working as soon as I was legally old enough to, whilst studying. I was encouraged to go to Oxbridge by my teachers - and I had the grades to do so. But my DD "happened".
For 7 years, I was told by my child's biological father's family that it was all my fault. That I had ruined his life by choosing to have my DD. For 7 years, my DD spent time with them - and it's only in the last year or so that she's admitted how they treated her, their own grandchild/niece as an object to boost their own status. "Oh, look at us, we're the only ones who have this child's best interests at heart... oh, but woe is us, because her evil mother won't let us have her overnight/babysit... our poor son's life has been ruined, destroyed forever... oh, no; he doesn't see her: we won't allow him to get attached, and we make sure that the child knows how much he blames her and her evil mother for preventing him from living the life that we, his parents, had planned for him... no; he doesn't pay a penny towards her, at all... well, we did pay a little, but that evil mother of hers had the audacity to point out that it ought to be grandchild's other biological parent paying it, not us... so we stopped... because how dare she..."
When my DD was 7 years old, she went to visit with them one Saturday - and told them that she never wanted to have anything more to do with them. She's 19 now. Last year, after two years of being stalked by her biologicla grandparents through college, she took out a restraining order on the entire family. Her biological father has never paid a penny towards her... actually, he went to university (albeit not Oxbridge, but he wasn't as smart as his parents liked to claim/think he was...). So did I. Not Oxbridge. And with a toddler in tow. But I went. I am as I always have been - a mother who is more than capable of independently supporting my own, equally independent children. My DD was 16 when she got her first job, whilst studying. She is also at university. She also has a very loving step-father, whom she has known her entire life (we've known one another since we were 12, so years before her biological father and I even knew one another existed), and his family who love her as much as they do her younger brother.
She hasn't seen her biological father, or his family since she was 7 years old. She doesn't want to, because of how they treated me and how they made her feel. Her biological father... well... he's 40 years old, has several other children, doesn't work (which according to the friends we have in common, he blames squarely on me...), and still lives at home. With his Mummy and Daddy. Who still treat him like he's 5 years old.
Your grandchild will always choose their mother over you. So, do the mature thing and don't ever make them feel like they have to. Be a grandmother. Enjoy not having the responsibility for them - but, for the love of whatever, stop preventing your son from being the man he thought he could be when he had unprotected sex (I'm not even going to touch the "no sex before marriage" statement you made, because... this is 2015, not 1915!). And above all, understand this. Your grandchild's mother is the one who is potentially going to have her life put on hold here. But that won't always be the case. I hope she does go to university, and I hope that she does understand that she is worth more than a relationship with someone who is actively encouraged to behave like an irresponsible child in seemingly most aspects of his life.
Let your son live his own life.
Because, after all, it's not your life... it's his. And he has responsibilities towards his child now.
Good luck, OP... I have a horrible feeling that you're going to need it in bucket-loads.