that's pretty cute. My tiel doesn't do that. As a matter of fact, if I pick up a dropped feather & try to tickle him or play w/him w/it, he gets very huffy - kinda' like "excuse me, but I let that one go on purpose, & I'd rather you not touch me w/it!"
I've heard of Amazons doing that too, and they're related to Pionus. I saw a green-cheeked conure using one of the pellets from the substrate on the cage bottom to scratch his head with too.