Scratching: Birds feel itchy when they change feathers and the new ones are growing.
Bugs: I don't know about them but try to watch him for next 2-3 days, maybe he'll stop scratching. You can always try to take a closer look on him when he's near you - give him a treat or something. All I know is that vet is the last option, when you totally don't know what to do - at least in my country. Here vets don't realy know about exotic birds so they're not a big help here actually. But I'm nit saying in your country is same as in mine ;P
Anyways, remember that visit at vet's isn't a nice experience for any animal I suppose, especially for a bird. You can always go without your bird, tell the vet what your concern is and maybe he could help without bringing your pet to him
Take care now and relax - remember: animals are much tougher than we think they are




