Not sure what your trying to do, are you trying to get him to step up on your finger? even with babies, you need to train them to do so. Always use the same verbal command, weather it be "step up" or "up", whatever you like. 10 minutes a day should help, remember lots of praise, "good bird" when he steps up. Once you get him to do that, you can "ladder" him to reinforce the command, just have him step from one finger to the other hand, same finger. I still practice with mine and they are almost 2 and almost one.
Oh, and the way I read your post, I'm not sure but, you are putting your finger just above the feet right?
My Hahn's doesn't like millet. Some do, some don't. I wouldn't worry about it, since you said he will eat it if he doesn't want to go back to his food cup.
There is a cockatoo where I work who was never taught "step up", I am trying it with him now, but it is very difficult to get a bird off or out of the cage if they don't know this basic command.
The step up, IMHO, is the most important command a bird learns.
Jezebel, White Capped Pionus
Lu, Hahn's Macaw
Bubbles, Toy poodle