Lovely bird, congrats. I think he is screaming cos he is bored. The cage looks way too small for a conure (If this is only a temporary cage, please ignore) My cinn gcc's cage is probably 4 times that size, full of toys and different perch types, plus he gets daily time out of cage. There is not enough toys or things for him to do. Try getting him some foraging toys, so he has to look for and find his food. Looks like you have only 1 dowel perch for him, you need to replace that as dowel is not good for their feet. Sorry this sounds so negative, I dont want you to take it as a criticism cos its not, just advice. I am sure others who have suns, will offer better advice on screaming and how to deal with it.
PS, conure will probably start howling like the dog, cos they can be good mimickers. LOL. Again, congrats on your beautiful bird and welcome to the forum.