A belated welcome to the forums!
From everything I've read myself about diet transition, the best approach for most birds seems to be just keep offering the new stuff every time you feed him. Did he eat anything in particular when you first got him? Like a seed mix or a certain pellet? If you did it might be better to try feeding some of that with the new pellets and limit the outright treats a little bit - you could break up the millet and mix it in with the pellets too if he's really only eating that.
When I adopted my bird at the end of march, he was pretty much only eating sunflower seeds out of everything he was offered. I definitely threw away a lot of food for the first month, but I just kept mixing everything together so that for him to pick out what he wanted he would still at least put pellets in his mouth. I also started feeding him chopped up vegetables (I just chopped them with a knife into little bite-sized pieces, and then also offered some bigger strips to see what he liked) twice a day and mixed it in with all of the rest of his mix.
It took him quite a while to try new things and realize that they're really yummy, but it's so cool to see when they first realized that something you're offering them is tasty food!
It turns out my bird absolutely loves red bell pepper and millet, so I can use both of those mixed into food that I want him to try. He still doesn't eat all of the pellets that I offer him but he definitely eats a little bit so he's making progress at least, and I think for some birds it can a be really slow process if they've never eaten a varied diet before.
A lot of people also have success pretending to eat something you want them to eat, making a big show of it being So Yummy - then acting like they can't have it and letting them "steal" it from you
My parrot could care less about that approach and looks at me like "you go ahead and eat that surely poisonous kale; I'll watch from here thanks."
