Many greys consider the cage "Their Home" and become territorial. You are an intruder and many will bite if you stick your hand in for a step up. It does not sound like Zeus is that aggressive, but just ignoring your step request. Respect and just close the door an walk away. Try again for a step up a little later. He will soon learn that if he really wants out a step up is the ticket to getting out. He is 9 years old and a month and a half is nothing. Your still in what is called the "Honeymoon" phase. You have not yet begun to see his true personality, just glimpses. He really sounds like a well behaved grey and just (as most) will ignore a step up request when they are out and doing what they wish to do and where they wish to be. Fleeing is a natural and common behavior we all see. This too will get better over time as you two come to an understanding of each other. Just keeping trying, watch his body language and learn his ways and behaviors. I can guarantee you, that he has already figured you out more than you have him.