Let me address the walk away vs. the not walk away question first. The rule of thumb is, if you are upset, yes walk away until you are not. If you're not upset, then don't. They pick up on your body language and other signs of emotion, including facial expression very easily. So let that be your emotions be your guide there. If you're just mildly disappointed/disapproving of them, don't walk away. Stay there and let them know it. It's how they learn social do's and don'ts of behavior.
For a bird that's been kept as you say this one has been, it's probably too early to start parading a stream of strange people through the house to show him off while he's outside his cage (his comfort zone). I would suggest a good 2-3 months depending on his tolerance for change. You've had him for less than a week and he's not acclimatized yet. At this point you really have no idea what his true behaviors will be, he's not showing them yet. Takes zons a long time to come out of their shell, so to speak. If he's not been trained, I would strongly suggest clipping his wings for now. Just this one time (I know this will stir some pots, but it does work). This will make him more dependent upon you and help facilitate your bonding and training for things like stepping up. A flighted bird can too easily ignore you and 'zons are really good at avoidance when they put they want to. You need to be in utter control right now. This also means no towels or blankets needed to get him under control, just a stick will do. You really don't want him to be afraid of towels or blankets, that creates more issues later.
Be consistent in his training. One person at a time, but both present. You need to both present commands to him the same way. This will help him build some confidence and comfort around what's expected of him. Work with him away from his cage. The bathroom (toilet lid down first please) is a great safe and quiet place to sit on the floor and work with him. Easier to clean up any accidents as most bathrooms don't have carpeted floors.
His cage looks great and it's fantastic he's showing interest in his toys. As Jayd mentioned, be ready to have him test your limits. He'll be like a child stuck in the terrible two's and he will be relentless in pushing boundries. 'Zons like to be the head of their flock and it will be up to you two to make sure he knows his place (another reason to work with him on the floor, not up high).
I probably could write a book here, but overall sounds like you're doing the right things and he's one lucky bird to have such loving new parents. I wish you best of luck!
Re: the wing clipping controversy. It only stirs resentment or causes problems if your behavior to the bird is wrong and the bird is treated wrong. I clip my 'zons during training and they have all been very happy well adjusted birds. They don't stay clipped and a clipping should never be severe. Just a few feathers so it's more work for them to try and fly. It's all about how you and the bird interact.