Hi,
Although your new Grey may seem nervous, he certainly is blessed to have landed in your home with you. Not all greys adjust at the same time, and it seems that he may take a bit longer to adjust.
By your brief description, it seems to me that your new buddy is a bit nervous and leaning more towards the phobic direction. It seems that he wants to have a physical connection by putting his head down for a scritch, but at the same time, he is afraid to make the connection. I suggest that you spend time by his cage and talk to him without trying to touch or pick him up at this time. Of course, you will need to continue cleaning the cage and putting his food bowls in his cage, but otherwise, don't try to make any physical contact yet. The change to the new cage is a big enough adjustment for him to deal with at this time.
Tell him that you are happy to have him... that you love him and you will move at his pace. And the pace that you follow needs to be one tiny step at a time. Now, sit by the cage and talk to him, read to him, and sing to him. Use his name in the songs that you make up. One of my greys is a bit nervous with phobic tendencies and he behaved very similarly to what you are describing. When he first came to live with me, he screamed every time I came near the cage. Now, he regurgitates every time I'm near him and lets me give him all kinds of scritches. I did it by going at his pace. I spent time just verbally interacting with him... and rubbing his head thru the cage bars, months later, after he moved in. Then, rubbing his head with the cage door open and so on. I went one tiny, tiny step at a time. He let me know what he would/would not accept. Now he's really happy here.
Check out the area where you've placed his cage. Make sure it is in a spot where he may feel secure, such as in a corner where he does not have to be nervous about what is going on from all sides of his cage. He will continue to say words that he learned in his previous home, until he has assimilated and learned the "new flock language" of your home. But you are right. Molly may have been the dog and he may miss her.
The key here is that in time, this little guy has the potential for positively adjusting and becoming very happy in your home. Don't give up. Just feel love and empathy for him. Remember to let him know you love him, and eventually, he will open up.
Please keep us posted as to his progress. What is his name?
Blessings,
Maggie-