You are not doing anything wrong! LOL Some like to bathe, and others just...don't.
It took my Ziggy a little over a year to decide to take a REAL bath. Before that he enjoyed taking baths on nice wet romaine or green leaf lettuce clipped to the side of the cage. That is how Levi started out too.
I have to put a piece of lettuce in their "tub" even now, or they won't go for it. Also try out different bowls/dishes.
Like Tanaka said...splash the water with your fingers, even flick a little bit at your bird-I know that that is how Ziggy finally took the plunge! Oooh and ahhh and say how niiice it is. LOL
Tanaka..it's nice to see you here! Dango Chan is a BOY!!??? I could have sworn you had 2 girls.