I am sure that somebody told you to ignore the 'bad' behavior (screaming) and reward only 'good' behavior and that's the reason why you walk out and wait for him to shut up before you go back in but, my dear, would you do the same thing with a baby who, waking up and finding himself all alone, starts crying? Because that is, in essence, the reason why he screams. He is afraid and he is calling for you, his source of security, his companion.
I am not scolding you because I realize that you are trying your best and simply applying what seems to be a good training technique to eliminate something that could be a problem but I have to tell you that it saddens me something terrible when people give this very wrong and extremely unkind advice to people who don't know how to deal with parrot screams. Parrots don't scream when they are alone because they are bad or because they are asking for a luxury, they scream because nature programmed into their brains that they need to be with their flock ALL THE TIME. Constant company is not something they want, it's something they NEED. Some parrots are more vocal and louder than others and sun conures are one of those species whose screams can become a problem (jendays, sundays, quakers, cockatoos, GCCs are also species that require special handling when it comes to company).
I have taken in big time screamers and my way of 'curing' them is to pay attention to them every single time they call for it. It has never made sense to me why people think that leaving a highly social species all alone and ignoring the bird's screams for help would solve the problem! To my mind, it seems much more logical to reassure the animal so it learns that it doesn't need to scream all the time for company because he is not all alone and, even if he is, there is no danger.
Freddy Too was a big time screamer - the bird screamed constantly, even when he could see me and even when I was right next to him (he would not scream if he was on me, though). This bird would scream all day long and even in the middle of the night if he heard a voice in another room - and believe me when I tell you that a sun conure screams are NOTHING compared to a cockatoo's! This went on for ten whole months and I thought my husband was going to throw him and me out the window
. He had lived 21+ years screaming all the time he was alone (which was every day of the work week and some weekends too, because his previous owners had their own moving business) so, to him, screaming was a way of life. But slowly but surely, he realized he did not need to scream because he was never again going to be alone and stopped. Nowadays, he now calls in the morning and sometimes during the day but it's a matter of seconds and the rest of the time you don't hear a peep out of him except a ByeBye or a Hello? when he hears somebody outside the birdroom.
I also have a sun conure now, I've had three in total as well as jendays, quakers and a sunday, and, again, no screams from any of them. Why? Because they are not afraid.
So, please, pay attention to him instead of walking away, comfort him and show him that you love him and he can count on you, that he is not alone, that he doesn't need to scream for help. Think of him as a baby and act as you would if this was your own child.