From his past, it's understandable. A lack of mental stimulation as a young bird can have a negative impact in the long run. Not only that, but he's older than Coco, and he may not have the same amount of energy. The malnutrition could have something to do with that, as well.
But he will improve. It will only take more time. Try not to overtrain him too, he could just be getting tired, after a while. Only about 3-5 times a day, would probably be ideal. If you want him to have some mental stimulation without working him, try allowing him to forage.
you can do something as simple as hiding treats in a shallow tub of shredded paper. Allow him to see at least one of the treats though, so he'll know there's food in it. As smimple as it sounds, having him search for his treats will exercise his mind. Not only that, but he will learn to work for his food that way, and that will make him more motivated for training.
Retardation does not mean "less". It simply mean "slow". It's going to take him longer to learn things, therefore it will take him longer to trust you, as well. He will get there eventually. Just look at it as him "taking his time".
Don't try to rush him. Just try and match his pace.