Well he does need time out of his cage. He needs the time out so that he can fly and get some exercise so it is good for his physical well being. He needs to look about his new home and see from you that it is OK, so it is also good for his mental and emotional well being as well.
Now, I would place some sheers on the windows for his protection as he will at first probably think that they are just an opening that he can just fly straight through, so the sheers will help to reduce any impact should he fly full on into one of them. Likewise I would cover any mirrors in the room for the same reason. I would let him out, at least the first few times about 2 hours before he is accustomed to receiving his dinner, just in case he does not make it easy to return him to his cage. If you can't get him to step up to go back to his cage for dinner and in case that he does not return to it on his own, you can, if the inside lights are not on, catch him quite easily when he goes to roost at dark and return him to his cage. That may have to occur a few times before he will either step up for you or return to the cage on his own as long as you keep his dinner coming at the same time everyday as it should have been occurring by this time.