Hi,cockatoos are unpredictable and weird characters.For this reason now he is scared.try to get closer to him with a toy he likes or a treat he eats more.Do not worry,i think it needs time.
This ball looks like a dog toy to me.Well you shall better not give it to your grey.
Parrots are not like cats and dogs,that they may swallow some weird stuff and then nothing is happening.Parrots are sensitive to unwanted materials into their bodies.
So better return it back and replace it...
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