I also rescued an African Grey recently as well and took it to the vet just to get a checkup, to form a relationship with a vet, and ask a few questions (the internet is great, but not always 100% accurate). I found a good vet that only treats birds.
One of my questions was about Missy being scared of any new parrot thing: perch, toy, treat, etc. He responded by saying “oh, that is just typical African Grey behavior; they tend to be a very timid species about new things.” So I do not think it is uncommon for your Grey to be afraid of his new cage or perch. He suggested just giving the parrot time to get accustom to the items and they will eventually accept them.
I have bribed Missy with treats to get near, or on, things she is not comfortable with. Not for long durations though. The 1st day she is normally petrified, the 2nd day wary, the 3rd day she is fine. So I think she needs time near the item and then away from the item so that next time she remembers "well, it didn't hurt me last time."
Also on a side note: I couldn't get Missy to start being trained until I changed her diet to pellets. She was like your bird, over fed on a bird food mix where she only ate her favorites. She wouldn't take treats from me since it was simply more work than pigging out in the bowl in her cage. Now that I have her on a pellet diet, she is willing to do tricks for treats.
My vet said sun flower seeds and corn are pretty bad for parrots. He recommended giving parrots fresh vegetables off of his vitamin A list every day. Here is a link to my vet’s website’s handout section which has several articles on types of food and diets for parrots:
http://www.thebirdclinic.com/Bird-Clinic-Handouts/