I always dislike having to be the bad guy, but sometimes it is better than not. Please get this bird a larger cage than what you have him in. Something like this one would be appropriate.
http://www.windycityparrot.com/play-top ... 20a&page=2 The minimum recommended size for a Congo African Grey would be 132cm square ( 52inches square) and 152.4cm tall ( 60inches tall)
It has been shown many times over that being confined in too small of an area is bad and stressful to our birds It affects how they react and respond to us with too small of an area decreasing trust in the bird towards us as well as increasing the birds aggressiveness. Aside from this Please consider how you would feel if you were locked in a room where you could barely spread your arms out to the sides. These are very intelligent creatures similar to a young child of 4 to 6 years of age, and they are well aware of how they are treated. The only way that I would use the cage that you have with my Grey is as a travel cage or as a sleeping cage only with the bird be free in my home the remainder of the time. I have a cage for my Grey similar to the one that I provided the link to and still my Grey is out of her cage the majority of the day.
I am not trying to be harsh or even rude, but I do know that the simple act of giving your Grey a larger cage will give you a better response from your Grey. I know that you do not have much experience with parrots and that what we are saying is in opposition to what you are hearing at the store that you purchased Alex from. Please consider the First Grey that you got from them and all that they told you then, and then go and ask them how many parrots that they have at home. I have 7 parrots living at home with me they range from an Amazon which is a little bigger than my Grey down to two parrotlets which are only 12.5cm long. The cage that you currently have Alex in is about the same size as I use for one of my parrotlets, and if I could afford a larger one for them I would buy it.
I know that you want to do what is best for Alex and that it is hard to do that when you receive different answers from different places. But I also want what is best for your Alex and can only share with you what I do with and for my own parrots. That is all that I can do. I do a lot of research as do many other people on this forum, all because we care so much about our birds and we are here to share that with you as well. Still, you are the one that has to decide what to do, but please consider what it is that we are sharing with you.