You have to give him some time to settle into his new home, after all he is in entirely new surroundings and it takes a while to build the trust with him, allow him to make decisions on his own, when he wants to come out of his cage, allow him to come completely out of his cage before trying to get him to step up as some view their cage as their safe zone and do not like any intrusions. Get down in the floor with a couple of foot toys and pretend you are having a good time with them to encourage him to want to come and join in, if he does give him a treat but do not force yourself on him, if you see signs that he is unhappy with you trying to touch him before he is ready then back off and allow more time, some take longer than others as they each have their own personality. Some handle their new grey right off the bat and others take some time to be able to handle them, let your grey give you the cue.