Rocky IS a good and decent bird, you need to allow him more time to settle in and feel comfortable. He needs to be handled by both you and your wife, he may prefer you at the moment but he should develop a relationship with her too for she may have to feed and take care of him in your absence and the best time is now while he is still young.
You may have to take him into another room to work with him on interacting with both of you, they feel a little out of their element if they are in a room other than the one where their cage is like maybe the bedroom, he is more likely to allow her to hold out her arm and him step up on it. But one thing is for sure she has to get over this fear of Rocky for he picks up on this and it could cause some behavior problems.
But please don't get rid of him for you will be denying yourself and your family the pleasure of owning and living with one of these magnificient creatures, you made the committment when bringing him home and he deserves no less than your best effort.