Yes, ask for a conference. I think you should write down all of the incidents for your own records, but I wouldn't approach her with a laundry list. The harsh grading you probably can't do anything about, but the negativity and humiliating in front of others is not right and it's also counter-productive for his learning experience. I would approach the conversation from a positive point of view. Describe what you think your son needs in order to have a supportive learning environment (encouragement, non-punitive feedback, etc.) ask her if she agrees those are desirable, and then if she says yes, ask her what are some specific things she can do to make changes.
If she says she thinks punishment and humiliation actually are positive for learning, I'd write that down word for word and then have the conversation with the principal! But I doubt she will - there may be something going on with her, or she may not be great with kids who are more sensitive, or something along those lines.
Keep supporting him at home and do the best you can to deal with the unreasonable grading. It's only 2nd grade - doesn't appear on the college transcripts! My son, same grade, also tends to get so discouraged and take some things so seriously. I think some adults forget how some children are very literal-minded about this stuff and take it very hard.