Do keep working on getting him to step onto your finger. It often takes a while before they will step willingly onto a live thing - and yes, they know darned well that your finger/hand is alive, unlike a perch. He knows perches are safe to stand on; he does it all day long. He doesn't know, yet, if a hand can be safe.
I mean, think about it: How comfortable would you be about stepping onto a hand twice your size, attached to a creature that's bigger than your house?
You just have to be patient and keep trying. Eventually he will decide that you aren't going to grab him and eat him.
You could also, as big bad momma suggested, try holding a bit of millet or some other treat he really likes, to encourage him onto your hand.