Congratulations on adopting your grey!
I agree with the above posts. Just take a step back and let your grey adjust to his new surroundings. He has been taken away from everything he knows and is familiar with and greys can be particularly change adverse little critters. He might be staying in his cage because it is the only familiar thing he knows right now.
Just keep talking softly to him, let him know what you're doing it. Read him some stories or the news or whatever else you have laying around. Get him used to hearing your voice. Do this from a distance. Get him used to you moving around the room and going near his cage. But give him space. Don't try and force the issue with him. Just feed and water him and let him know you're around if he wants you. Over time he will slowly adjust to you, your home and his new routine. Depending on the bird this could take days, weeks or months. You have to be prepared to be patient and understanding as he adjusts to and learns about his new home. He might start to show an interest in you or what you're doing. Great. Let him. Encourage his curiosity but don't force him too soon. Let him figure out when he wants to be move involved and come towards you.
I agree that whistling is a great way to communicate with a grey. My grey Alfie loves to whistle back and forth with me. Again, this might take a while and you might not get a peep out of him for a while- but just keep encouraging him. He'll come round eventually.