The bird should have a variety of toys, but only two or so in the cage at a time. Rotate the toys about every two to three weeks so the bird doesn't get bored. A. Birds can be taught to do behaviors such as basketball, roller skating etc. While all species can be taught successfully, individuals may vary in their willingness to learn. The key to success is regular training sessions, patience, repetition and rewards.
Some birds can be suspicious of any new thing, including toys.
It seems that a lot of African Greys are like this. The best thing to do is to put the toy on the floor of the cage orplaypen. When the bird starts poking at it and taking and interest, then try hanging it up. If this doesn't work, then you're pretty much out twenty dollars. Taste is a personal thing, and birds definitely do have preferences.