First off I don't think this could be labeled a trick because the bird isn't responding to a cue (I had to watch without sound so if they are saying something like moonwalk and then it does it, then it is a trick). Teaching it is really easy. Any parrot can backup if required but they generally don't like to. To shape the behavior, just push your arm toward the bird (but without opportunity to step up or turn around)... naturally it will have to backup. Click and reward when it is walking backwards. Always say/show the cue and the bird will learn. Eventually you don't have to push it back but make a motion with your arm/hand that would push it back (
and like wings) the bird will continue the action on its own without being touched.