Caitlin is right about rubbing his head on the area above the tail, he is rubbing the preen gland for oils to distribute over his feathers when he preens, all greys do that, that is why when you take them into the shower the water rolls off their back.
He might be itchy and he needs to be bathed at least twice a week and then afterward give him a good spraying with 100% aloe vera juice, it will make the feathers softer and the skin more supple.
You don't have to worry about him playing with his feathers, they all do that, just don't make a big deal about it or he might start pulling them out for the reaction he is getting.
Two weeks is nothing to a grey, give him some more time to get used to you, patience is a virtue worth its weight in gold when dealing with greys.