First, congrats on your new grey, so now the journey begins and life will never be the same. Yes at 4 months he is still just a baby so give him time to settle into his new home, things move slow in grey time so being patient is very important. Greys are very smart but you have to give him some time, let him grow up some before trying to teach him tricks, as you live with him you will be amazed at what he will learn.
Second, he is still a baby and needs reassurance, after all he is a flock animal and you are part of his flock, he wants to know you are still there even though he can't see you, maybe when he calls to you give him a call back to let him know you are still around.
You may have to alter your perception of having a well mannered and trained grey for it is usually the other way around, they control us and have us trained to their every whim, you know what is theirs is theirs and what is ours is theirs too, the longer you spend with a grey the more you will see that this is very true.
If I were you I would locate his cage where the family spends most of their time, like we have ours in the family room and keep him in it some during the day when you have things to do then let him out for the remainder of the day to be with his flock. For the time being enjoy the cuddles and keep reassuring him until he gets more confident in his surroundings.