I've adopted two Amazons who were both neglected in terms of human affection, you're doing great. The fact that he's taking a liking to nuzzling means you're going to wind up with a great bird. He's got to have some time to get used to this new way of dealing with humans.
Yellow napes are very intelligent.
I also dance with my birds, and they love it. We also sing. It's funny how they don't know the words but will fake their way through the song. Sometimes I laugh so hard tears roll down my cheeks. Sometimes for 5 hours a day.