Yes, parrots are quirky birds. And, yes, grays are not easy to switch to a good diet but there are tricks to help with the transition.
1. You cannot free-feed the high protein food (seeds, nuts, pellets, etc)
2. You should only feed about 1/4 cup of a good quality seed mix (and that means not a lot of sunflowers and then only the striped ones) at sunset and take the bowl out when the bird is asleep.
3. Wait about one hour after sunrise and then feed cooked whole grains that are still firm and a bit hard in the middle and mix with just a very few seeds from the mix. Once he is eating the grains, eliminate the seeds and start adding cooked vegetables to it very gradually and very slowly.
4. Eat fresh vegetables and fruits in front of him in the morning when you serve him his food. Bite a piece and offer him the same fruit you bit into (but not the side you put in your mouth) and, when he tries it, praise, praise, praise.
5. Always use the same words over and over and over (something like yummy, yummy or whatever equivalent there is in your language to indicate that something is very tasty).
It takes time but they do, eventually, start eating a variety of things.