1) Make sure your budgie is a little hungry to desire the treats from you before you take him out. Make sure your budgie is interested in training.
2) Try to eliminate distractions. If you have a small room where your budgie wouldn't have many places to fly away to or things to fly on, that would be the most suitable place to bring him.
3) Keep training sessions very short, but you can do more of them.
4) You said your budgie Maxi doesn't always step up. Your budgie simply needs to be more hand tame. It sounds like your budgie needs more practice with you on stepping up. You can work with your budgie on target or stick training. Hand taming your budgie would probably solve a lot of the problem.
5) A quick solution would be to clip your bird, but I absolutely
DON'T think you should, just my personal opinion.
6) Your budgie is also still young. Keep going with the pellet diet transition. I think once the transition is complete, you will have a much easier time with the training diet (not to be confused with starving of course).
Unfortunately, budgies are extremely hyper and this is one of the problems I faced with Duke because he would refuse to stay. Whenever he wanted to go back to his cage, he would just fly off. He couldn't gain any height, but budgies are small, and he could glide a pretty far distance. He was ALWAYS eager to come out to be with me, but it's probably a combination of keeping him out too long, him getting bored of training/him being hyper, and his low attention span.
What I think you should do is put your budgie on a perch, and be quick to react before he flies off. Offer him a treat on a perch immediately. Let him eat from your hand so that he's immediately focused on getting the food and won't fly off. Teach him that when he's on a perch near you, he's going to get a treat by taking him off and putting him on, reward each time for a few times. Then he might have more motivation to stay on it. You want him to associate you with getting his favorite foods so he'll enjoy being with you and coming out of his cage to step up onto your finger. Having your budgie eat out of your hand is the first step in basic training. Refer to this sticky article about the steps to take after that:
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