Sounds like he just enjoys being with you, not necessarily a bad thing. How long do you have him out before you put him back in his cage? Maybe if you plan longer play times with him he will be more willing to go back for a treat. Also, if he is disobedient on your shoulder, I would avoid letting him up there until he will step up when asked. One more thing, do you ever ask him to step up off your shoulder when he's not gong into his cage? That could be a reason why he refuses to step up if he associates it with always gong back into his cage.
Sent from my SM-G955U using Tapatalk