So I've done a little more training. Today's session had a rough start. He wanted to fly every BUT to my hand.
The first three times he came to me, he landed on my back once (I was half bent over) and on my head twice, despite having my hand closer to him than my head.
So we took a break, as I let him and Lucy play on the table. At one point I got my camera out, and naturally they both wanted to play with the shiny thing that has buttons they can chew on. Alex decided that he's not going to wait, and flew to the hand that was holding the camera. I move said hand away from the camera and he still managed to land on it. I gave him a lot of praise for actually landing on my hand, and then decided to try once more with the training.
I got him to fly to me three more times, and each time he landed on my hand.
So we're moving forward!

It seems that he's motivated by play as much as he is praise. Not very interested if I'm holding food, but if I have something that looks fun and shiny, he definitely goes for it. Also loves his scritches, so rewarding him certainly isn't difficult.
Maybe that's why he goes for my head, Because he likes to play with my hair and glasses.

Additionally, I attempted to do the same with Lucy. I let her perch on the back of the chair I've been using for the training, held my hand out like I did Alex, and called her. She fluffed her feathers and started to preen herself.

I may have to use a different approach to get Lucy interested.