Maybe they prefer veggies as a foraging food. That's what my birds do - if I put their greens in a cup they won't touch it, but if I hang it up in the cage or lay it out on a table top they go for it. They're funny about presentation and want certain foods to be served in certain ways, and they might not be interested if I serve it differently. Dally and Tsuka might eat more veggies if you can find a presentation style that they really like.
Shodu's favorite presentation style is anything that feels like stealing. I call her "La Cockatiel Ladra" (The Thieving Cockatiel), and the La Gazza Ladra overture is her official theme song. It's on youtube at
http://www.youtube.com/watch?v=K_boI5ChieE The first two and a half minutes don't sound like Shodu on a food quest but the rest of it does. It's easy to imagine her sneaking around snatching anything that isn't carefully guarded.